THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION

DOI10.1142/S0219024914500459zbMath1303.91194OpenAlexW3123296785MaRDI QIDQ2941062

Lech A. Grzelak, Anthonie W. van der Stoep, Cornelis W. Oosterlee

Publication date: 21 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500459

zbMATH Keywords

Monte Carlostochastic volatilitycalibrationhybrid modelslocal volatilityHestonHeston stochastic-local volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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