Multi-asset and generalised Local Volatility. An efficient implementation
Multi-asset and generalised Local Volatility. An efficient implementation ArXiv ID: 2411.05425 “View on arXiv” Authors: Unknown 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. Keywords: Hybrid Numerical Method, Option Pricing, Local Volatility, Stochastic Drift, Monte Carlo Simulation, Equity and Interest Rate Hybrids ...