Analytical formulas for a local volatility model with stochastic rates
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Publication:2893202
DOI10.1080/14697688.2010.523011zbMath1247.91177OpenAlexW3123841515MaRDI QIDQ2893202
Eric Benhamou, Emmanuel Gobet, Mohammed Miri
Publication date: 26 June 2012
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.523011
option pricinginterest ratesstochastic analysiscomputational financemulti-factor modelsmathematics of financeequity options
Related Items (10)
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ An explicitly solvable Heston model with stochastic interest rate ⋮ Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model ⋮ A novel Monte Carlo approach to hybrid local volatility models ⋮ New Approximations in Local Volatility Models ⋮ Weak approximation of averaged diffusion processes ⋮ EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL ⋮ Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms ⋮ Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods ⋮ EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION
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- Stochastic Volatility Model with Time‐dependent Skew
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