Multi-asset and generalised Local Volatility. An efficient implementation
Computational Finance
2024-11-11 v1 Pricing of Securities
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.
Cite
@article{arxiv.2411.05425,
title = {Multi-asset and generalised Local Volatility. An efficient implementation},
author = {Olivier Deloire and Louis Roth},
journal= {arXiv preprint arXiv:2411.05425},
year = {2024}
}