Pricing Path Dependent Contracts in the Presence of Stochastic Volatility - Combining Numerical Integration, Finite Difference and Conditional Monte Carlo
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Published:2014
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ISSN:1556-5068
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Container-title:SSRN Electronic Journal
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language:en
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Short-container-title:SSRN Journal
Reference22 articles.
1. Alternative Asset-Price Dynamics and the Volatility Smile;D Brigo;International Journal of Theoretical & Applied Finance,2002
2. Alternative Asset-Price Dynamics and the Volatility Smile;D Brigo;Quantitative Finance,2003
3. An Alternating-Direction Implicit Scheme for Parabolic Equations with Mixed Derivatives;I J D Craig;Computers & Mathematics with Applications,1988
4. Pricing with a Smile;B Dupire;Risk Magazine,1994
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