The Hybrid Stochastic-local Volatility Model with Applications in Pricing FX Options
Language: en
Pages: 264
Authors: Yu Tian
Categories:
Type: BOOK - Published: 2013 - Publisher:

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This thesis presents our study on using the hybrid stochastic-local volatility model for option pricing. Many researchers have demonstrated that stochastic vola
A Hybrid Stochastic Volatility Model Incorporating Local Volatility
Language: en
Pages: 4
Authors: Yu Tian
Categories:
Type: BOOK - Published: 2014 - Publisher:

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In this paper, we present our study on a hybrid stochastic volatility model incorporating local volatility for pricing options in the foreign exchange (FX) mark
Calibrating and Pricing with a Stochastic-Local Volatility Model
Language: en
Pages: 0
Authors: Yu Tian
Categories:
Type: BOOK - Published: 2015 - Publisher:

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In this paper, we present our study on using the hybrid stochastic-local volatility (SLV) model for option pricing. The SLV model contains a stochastic volatili
Empirical Performance of Option Pricing Models with Stochastic Local Volatility
Language: en
Pages: 16
Authors: Greg Orosi
Categories:
Type: BOOK - Published: 2014 - Publisher:

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We examine the empirical performance of several stochastic local volatility models that are the extensions of the Heston stochastic volatility model. Our result
Volatility Surface and Term Structure
Language: en
Pages: 102
Authors: Kin Keung Lai
Categories: Business & Economics
Type: BOOK - Published: 2013-09-11 - Publisher: Routledge

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This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book hav