Pricing autocallables under local-stochastic volatility
DOI10.3934/fmf.2022008zbMath1519.91257OpenAlexW4312911033MaRDI QIDQ6105374
Walter Farkas, Urban Ulrych, Francesco Ferrari
Publication date: 26 June 2023
Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/fmf.2022008
quasi-Monte Carlo methodslocal-stochastic volatilityautocallablesbarrier reverse convertiblesexotic derivatives pricingimplied volatility smile dynamics
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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