The Smile Calibration Problem Solved

Following previous work on calibration of multi-factor local stochastic volatility models to market smiles, we show how to calibrate exactly any such models. Our approach, based on McKean's particle method, extends to hybrid models, for which we provide a Malliavin representation of the effective local volatility. We illustrate the efficiency of our algorithm on hybrid local stochastic volatility models

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Year of publication:	2014
Authors:	Guyon, Julien
Other Persons:	Henry-Labordere, Pierre (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Mathematische Optimierung \| Mathematical programming \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 13, 2011 erstellt
Other identifiers:	10.2139/ssrn.1885032 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013067689