Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results

DOI10.1080/14697688.2014.930965zbMath1402.91895arXiv1312.5693MaRDI QIDQ5247272

Alexander Lipton-Lifschitz, Andris Lasis, Andrey Gal

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5693

zbMATH Keywords

stochastic volatility; exotic options; barrier options; numerical methods for option pricing; implementation of pricing derivatives; local volatility theory

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs