A stochastic local volatility technique for TARN options

DOI10.1080/00207160.2019.1608357zbMath1480.91310OpenAlexW2938365877MaRDI QIDQ5030544

Iñigo Arregui, Jonatan Ráfales

Publication date: 17 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2019.1608357

zbMATH Keywords

option pricingpartial differential equations modelstochastic local volatilityalternating directions schemeTARN

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)

Related Items (1)

Calibration of the temporally varying volatility and interest rate functions

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• Partial differential equations for Asian option prices
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

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