Pricing Autocallables under Local-Stochastic Volatility
Copyright policy )Pricing Autocallables under Local-Stochastic Volatility
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
- University of Zurich Switzerland
- ETH Zurich Switzerland
- Swiss Finance Institute Switzerland
Applications of statistics to actuarial sciences and financial mathematics, Derivative securities (option pricing, hedging, etc.), Numerical methods (including Monte Carlo methods), local-stochastic volatility, 10003 Department of Finance, implied volatility smile dynamics, quasi-Monte Carlo methods, Monte Carlo methods, exotic derivatives pricing, autocallables, barrier reverse convertibles, 330 Economics
Applications of statistics to actuarial sciences and financial mathematics, Derivative securities (option pricing, hedging, etc.), Numerical methods (including Monte Carlo methods), local-stochastic volatility, 10003 Department of Finance, implied volatility smile dynamics, quasi-Monte Carlo methods, Monte Carlo methods, exotic derivatives pricing, autocallables, barrier reverse convertibles, 330 Economics
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).4 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!