Multi-asset and generalised Local Volatility. An efficient implementation

Olivier Deloire () and Louis Roth ()
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Olivier Deloire: Ecole Supérieure d'Electricité - SUPELEC (FRANCE)

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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: local volatility generalised local volatility trinomial tree implicit explicit Fokker Plank monte-carlo ODgrid interpolation Steinman Akima Steffen pde Heston Hull and White stochastic volatility Arrow Debreu Keys interpolation trilinear convertible equity hybrid; local volatility; generalised local volatility; trinomial tree; implicit; explicit; Fokker Plank; monte-carlo; ODgrid; interpolation; Steinman; Akima; Steffen; pde; Heston; Hull and White; stochastic volatility; Arrow Debreu; Keys interpolation; trilinear; convertible; equity hybrid (search for similar items in EconPapers)
Date: 2024-09-01
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