A General Valuation Framework for SABR and Stochastic Local Volatility Models

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2018 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Financial Mathematics, volume 9, pages 520-563 (eissn: 1945-497X,

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Authors: Zhenyu Cui; Justin Lars Kirkby; Duy Nguyen;

doi: 10.1137/16m1106572

A General Valuation Framework for SABR and Stochastic Local Volatility Models

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Abstract

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Keywords

Stopping times; optimal stopping problems; gambling theory, CTMC, Numerical methods (including Monte Carlo methods), stochastic local volatility, quadratic local volatility, continuous-time Markov chains, Derivative securities (option pricing, hedging, etc.), barrier options, Asian options, American options, option pricing, exotic options, SABR, occupation time derivatives

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