GOBET, EMMANUEL; HOK, JULIEN - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450010-1
A wide class of hybrid products are evaluated with a model where one of the underlying price follows a local volatility diffusion and the other asset value a log-normal process. Because of the generality for the local volatility function, the numerical pricing is usually much time consuming....