Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (Q5247272)

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scientific article; zbMATH DE number 6429538
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Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
scientific article; zbMATH DE number 6429538

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    Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (English)
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    23 April 2015
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    stochastic volatility
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    numerical methods for option pricing
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    local volatility theory
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    implementation of pricing derivatives
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    exotic options
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    barrier options
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