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Calibration of Local Stochastic Volatility Models to Market Smiles : A Monte-Carlo Approach
Henry-Labordere, Pierre - 2011
In this paper, we introduce a new technique for calibrating local volatility extensions of arbitrary multi …-factor stochastic volatility models to market smiles. Although approximate, this technique is both fast and accurate. The procedure is …
Persistent link: https://www.econbiz.de/10013134263
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Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing
Liang, Jian - 2020
We propose a new forward-backward stochastic differential equation solver for highdimensional derivative pricing problems by combining deep learning solver with least square regression technique widely used in the least square Monte Carlo method for the valuation of American options. Our...
Persistent link: https://www.econbiz.de/10012849376
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Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface
Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919426
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Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
Guo, Ivan - 2016
Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …
Persistent link: https://www.econbiz.de/10012980091
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Optimum Weighting for the Least Squares Monte Carlo Approach to American Options Under the CEV Model
Barden, Jason - 2015
In this paper we propose the optimum weighting scheme for pricing American options under a local volatility model …. American options are priced under the constant elasticity of variance volatility model using Monte Carlo simulation. The …
Persistent link: https://www.econbiz.de/10013018846
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Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
Chesneau, Christophe; El Kolei, Salima; Navarro, Fabien - 2017
Persistent link: https://www.econbiz.de/10012200019
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …
Persistent link: https://www.econbiz.de/10003635097
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Arbitrage-free market models for liquid options
Wissel, Johannes Stefan - 2008
Persistent link: https://www.econbiz.de/10003726013
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Stochastic volatility and stochastic leverage
Veraart, Almut E. D.; Veraart, Luitgard - 2009
Persistent link: https://www.econbiz.de/10003849550