Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results

DOI10.1080/14697688.2014.930965zbMath1402.91895arXiv1312.5693OpenAlexW2115325641MaRDI QIDQ5247272

Andrey Gal, Andris Lasis, Alexander Lipton-Lifschitz

Publication date: 23 April 2015

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

Full work available at URL: https://arxiv.org/abs/1312.5693

zbMATH Keywords

stochastic volatilityexotic optionsbarrier optionsnumerical methods for option pricingimplementation of pricing derivativeslocal volatility theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (11)

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems ⋮ Multilayer heat equations and their solutions via oscillating integral transforms ⋮ A novel Monte Carlo approach to hybrid local volatility models ⋮ Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ XVA in a multi-currency setting with stochastic foreign exchange rates ⋮ Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets ⋮ COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS ⋮ A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs ⋮ Recovery of local volatility for financial assets with mean-reverting price processes ⋮ Pricing options under stochastic volatility jump model: a stable adaptive scheme

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Option pricing with quadratic volatility: a revisit
• Boundary conditions for the single-factor term structure equation
• Operator splitting methods for pricing American options under stochastic volatility
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Pricing options under stochastic volatility: a power series approach
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• A mixed PDE/Monte-Carlo method for stochastic volatility models
• An alternating-direction implicit scheme for parabolic equations with mixed derivatives
• Option pricing in the presence of natural boundaries and a quadratic diffusion term
• On the first passage problem for correlated Brownian motion
• Two singular diffusion problems
• Double Lookbacks
• Why Are Quadratic Normal Volatility Models Analytically Tractable?
• Coherent global market simulations and securitization measures for counterparty credit risk
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Fast strong approximation Monte Carlo schemes for stochastic volatility models
• Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
• Hitting Lines with Two-Dimensional Brownian Motion
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results