THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
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Publication:2941062
DOI10.1142/S0219024914500459zbMath1303.91194MaRDI QIDQ2941062
Lech A. Grzelak, Anthonie W. van der Stoep, Cornelis W. Oosterlee
Publication date: 21 January 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024914500459
Monte Carlo; stochastic volatility; calibration; hybrid models; local volatility; Heston; Heston stochastic-local volatility
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G30: Interest rates, asset pricing, etc. (stochastic models)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
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