COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS
From MaRDI portal
Publication:5148005
DOI10.1142/S0219024920500387zbMath1454.91309OpenAlexW2979680097MaRDI QIDQ5148005
Lech A. Grzelak, Anthonie W. van der Stoep, Cornelis W. Oosterlee
Publication date: 29 January 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024920500387
Monte Carlocalibrationstochastic collocationbarrier optionsstochastic local volatilityforward volatilitycollocating volatility
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- Exact asymptotics for the probability of exit from a domain and applications to simulation
- Sparse grid collocation schemes for stochastic natural convection problems
- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
- Simplex Stochastic Collocation with Random Sampling and Extrapolation for Nonhypercube Probability Spaces
- THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
- ON THE OPTIMAL POLYNOMIAL APPROXIMATION OF STOCHASTIC PDES BY GALERKIN AND COLLOCATION METHODS
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Advanced Monte Carlo Methods for Barrier and Related Exotic Options
- A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- Monotone Piecewise Cubic Interpolation
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- A novel Monte Carlo approach to hybrid local volatility models
- Statistical Tools for Finance and Insurance
- The collocating local volatility framework – a fresh look at efficient pricing with smile
- The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Approximations to the non-central chi-square distribution
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- High-Order Collocation Methods for Differential Equations with Random Inputs
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
- Markov-functional interest rate models
This page was built for publication: COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS
