A General Valuation Framework for SABR and Stochastic Local Volatility Models

By Zhenyu Cui, J. Kirkby, Duy Nguyen. 2018

76 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/9224baa16c16cc6763dfcdb7b3c998692e8086f7

Citations in the corpus

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “Cui et al. (2018b) are able to reduce the double Laplace transform of Cai et al. (2015) to a single Laplace transform, which significantly reduces the computational effort (see also Cui et al. (2018a)).”