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Multi-asset and generalised Local Volatility. An efficient implementation

Authors :
Deloire, Olivier
Roth, Louis
Publication Year :
2024

Abstract

This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local volatility.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2411.05425
Document Type :
Working Paper