The collocating local volatility framework – a fresh look at efficient pricing with smile

Autor:	Lech A. Grzelak
Rok vydání:	2018
Předmět:	010101 applied mathematics Computational Theory and Mathematics Applied Mathematics Local volatility Monte Carlo method Econometrics 010103 numerical & computational mathematics 0101 mathematics 01 natural sciences Callable bond Computer Science Applications Mathematics
Zdroj:	International Journal of Computer Mathematics. 96:2209-2228
ISSN:	1029-0265 0020-7160
DOI:	10.1080/00207160.2018.1547378
Popis:	It is a market practice to price exotic derivatives, like callable basket options, with the local volatility model [B. Dupire, Pricing with a smile, Risk 7 (1994), pp. 18–20; E. Derman and I. Kani,...
Databáze:	OpenAIRE
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