Multi-asset and generalised Local Volatility. An efficient implementation
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866915009782611968 |
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| author | Deloire, Olivier Roth, Louis |
| author_facet | Deloire, Olivier Roth, Louis |
| contents | This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local volatility. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_05425 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Multi-asset and generalised Local Volatility. An efficient implementation Deloire, Olivier Roth, Louis Computational Finance Pricing of Securities This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local volatility. |
| title | Multi-asset and generalised Local Volatility. An efficient implementation |
| topic | Computational Finance Pricing of Securities |
| url | https://arxiv.org/abs/2411.05425 |