A general valuation framework for SABR and stochastic local volatility models
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Publication:4579833
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Cited in
(41)- A general approach for Parisian stopping times under Markov processes
- Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
- A general method for analysis and valuation of drawdown risk
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Quantization goes polynomial
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes
- Estimation of local volatilities in a generalized Black-Scholes model
- Pricing of spread and exchange options in a rough jump-diffusion market
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- A transform-based method for pricing Asian options under general two-dimensional models
- Pricing American drawdown options under Markov models
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- Stochastic local volatility models and the Wei-Norman factorization method
- Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
- A general framework for time-changed Markov processes and applications
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- Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
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- A general framework to simulate diffusions with discontinuous coefficients and local times
- A general approach for lookback option pricing under Markov models
- Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
- The bilateral Gamma motion: calibration and option pricing
- Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Markov chain approximation of one-dimensional sticky diffusions
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Robust willow tree method under Lévy processes
- Localized radial basis functions for no-arbitrage pricing of options under stochastic alpha-beta-rho dynamics
- A Markov chain approximation scheme for option pricing under skew diffusions
- A new class of multidimensional Wishart-based hybrid models
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
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