Calibrating and Pricing with Stochastic-Local Volatility Model

2012 ◽  
Author(s):  
Yu Tian ◽  
Zili Zhu ◽  
Fima Klebaner ◽  
Kais Hamza
Keyword(s):  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Stochastic Local Volatility

A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs

2020 ◽  
Vol 177 ◽  
pp. 467-486
Author(s):  
Ana María Ferreiro-Ferreiro ◽  
José A. García-Rodríguez ◽  
Luis Souto ◽  
Carlos Vázquez
Keyword(s):  
Parallel Implementation ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Stochastic Local Volatility

Calibrating and Pricing with a Stochastic-Local Volatility Model

2015 ◽  
Vol 22 (3) ◽  
pp. 21-39 ◽  
Author(s):  
Yu Tian ◽  
Zili Zhu ◽  
Geoffrey Lee ◽  
Fima Klebaner ◽  
Kais Hamza
Keyword(s):  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Stochastic Local Volatility
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