scientific article
From MaRDI portal
Publication:3195637
zbMath1337.91133MaRDI QIDQ3195637
Lech A. Grzelak, Anthonie W. van der Stoep, Cornelis W. Oosterlee
Publication date: 20 October 2015
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
The collocating local volatility framework – a fresh look at efficient pricing with smile, A multivariate stochastic volatility model with applications in the foreign exchange market