Search Results - person:"Lasis, Andris"

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

Lipton, Alexander; Gal, Andrey; Lasis, Andris - arXiv.org - 2013

Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes....

Persistent link: https://www.econbiz.de/10010723213

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

Lipton, Alexander; Gal, Andrey; Lasis, Andris - In: Quantitative Finance 14 (2014) 11, pp. 1899-1922

Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices and so on. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes....

Persistent link: https://www.econbiz.de/10010953690