Pricing of vulnerable options under hybrid stochastic and local volatility
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Publication:2137228
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Cites work
- scientific article; zbMATH DE number 1391030 (Why is no real title available?)
- scientific article; zbMATH DE number 5228515 (Why is no real title available?)
- A fast mean-reverting correction to Heston's stochastic volatility model
- A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
- Asymptotic option pricing under the CEV diffusion
- Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method
- Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Investment timing under hybrid stochastic and local volatility
- MEAN-REVERTING STOCHASTIC VOLATILITY
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Option pricing under hybrid stochastic and local volatility
- Pricing arithmetic Asian options under hybrid stochastic and local volatility
- Pricing of fixed-strike lookback options on assets with default risk
- Pricing variance swaps under hybrid CEV and stochastic volatility
- Pricing vulnerable options under a stochastic volatility model
- Singular Perturbations in Option Pricing
- The pricing of vulnerable options with double Mellin transforms
Cited in
(17)- Effect of institutional deleveraging on option valuation problems
- Turbo warrants under hybrid stochastic and local volatility
- Pricing vulnerable options with stochastic volatility
- Pricing vulnerable options under a stochastic volatility model
- Efficient option pricing in crisis based on dynamic elasticity of variance model
- Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
- The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
- Pricing and hedging of cliquet options and locally capped contracts
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
- Pricing Options with Hybrid Stochastic Volatility Models
- Valuing of timer path-dependent options
- The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
- Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
- Pricing vulnerable power option under a CEV diffusion
- The pricing of vulnerable power options with double Mellin transforms
- Valuation of barrier and lookback options under hybrid CEV and stochastic volatility
- A delayed stochastic volatility correction to the constant elasticity of variance model
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