A General Valuation Framework for SABR and Stochastic Local Volatility Models

DOI10.1137/16M1106572zbMath1410.91441OpenAlexW2805086499WikidataQ129910723 ScholiaQ129910723MaRDI QIDQ4579833

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Publication date: 10 August 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m1106572

zbMATH Keywords

option pricingAmerican optionscontinuous-time Markov chainsAsian optionsexotic optionsbarrier optionsoccupation time derivativesCTMCSABRstochastic local volatilityquadratic local volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• PROJ_Option_Pricing_Matlab

Cites Work

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