Stochastic Local Volatility

By Carol Alexander, Leonardo M. Nogueira. 2008

61 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/9bc58a278ff96a32b7a6582fa891c013f01b40f7

Citations in the corpus

• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (2013, unknown): “…models by describing the instantaneous volatility of an underlying S by a function σ ( t, S t , Y t ) where Y is some auxiliary, possibly multidimensional, stochastic process (see, for instance, Lipton (2002), Alexander and Nogueira (2004), Ewald (2005), Henry-Labordere (2009) and Clark (2010)).”
• The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation (2014, unknown): “Another attempt for solving the SLV model was presented in [26] where a LevenbergMarquardt optimization technique for a non-linear Fokker-Planck equation was applied.”