A novel Monte Carlo approach to hybrid local volatility models

DOI10.1080/14697688.2017.1280613zbMath1402.91899OpenAlexW3125448238MaRDI QIDQ4555144

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

Publication date: 19 November 2018

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

Full work available at URL: https://ir.cwi.nl/pub/25672

zbMATH Keywords

Monte Carlostochastic volatilityregressionlocal volatilitystochastic interest rateshybridstochastic collocationHestonHull-WhiteSABRstochastic local volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Pricing autocallables under local-stochastic volatility ⋮ COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS ⋮ Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method

Cites Work

• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Sparse grid collocation schemes for stochastic natural convection problems
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Analytical formulas for a local volatility model with stochastic rates
• Simplex Stochastic Collocation with Random Sampling and Extrapolation for Nonhypercube Probability Spaces
• THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
• On the Heston Model with Stochastic Interest Rates
• ON THE OPTIMAL POLYNOMIAL APPROXIMATION OF STOCHASTIC PDES BY GALERKIN AND COLLOCATION METHODS
• A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
• On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• High-Order Collocation Methods for Differential Equations with Random Inputs
• A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A novel Monte Carlo approach to hybrid local volatility models