"Pricing window barrier options with a hybrid stochastic-local volatility ..."

Yu Tian et al. (2014)

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DOI: 10.1109/CIFER.2014.6924097

access: closed

type: Conference or Workshop Paper

metadata version: 2024-10-06

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Yu Tian, Zili Zhu, Geoffrey Lee, Thomas Lo, Fima C. Klebaner, Kais Hamza:
Pricing window barrier options with a hybrid stochastic-local volatility model. CIFEr 2014: 370-377

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