Window Barrier Option Pricing with the Hybrid Stochastic-Local Volatility Model

2013 ◽  
Author(s):  
Yu Tian ◽  
Zili Zhu ◽  
Geoffrey Lee ◽  
Thomas Lo ◽  
Fima Klebaner ◽  
...  
Keyword(s):  
Option Pricing ◽  
Barrier Option ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Barrier Option Pricing ◽  
Stochastic Local Volatility

Analytical approximation for spread option pricing in local volatility model

2017 ◽  
Vol 04 (04) ◽  
pp. 1750022
Author(s):  
Ying Yang
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Option Pricing ◽  
Difference Method ◽  
Analytical Approximation ◽  
Second Order ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Spread Option

This paper introduces a methodology of analytical approximation in general European option-pricing case based on local volatility model and then apply it to price a European Spread Option. The approximation procedure is flexible in pricing financial derivatives with any form of volatility, drift rate, risk-free rate and payoff function. We also work out the explicit pricing formula up to the second-order approximation of spread option which is good-fitting compared with finite difference method and Monte Carlo simulation. The relative error compared to finite difference method is no more than 5%, which attests to the accuracy of our second-order closed-form formulas.

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
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