On full calibration of hybrid local volatility and regime‐switching models
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DOI: 10.1002/fut.21901
Abstract: Calibrating local regime†switching models is a challenging problem, especially when the volatility functions are assumed to depend on both of the underlying price and time. In this paper, the inverse problem of determining local… read more here.
Keywords: regime switching; volatility; switching models; local volatility ... See more keywords
Asymptotic expansion for some local volatility models arising in finance
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DOI: 10.1007/s10203-019-00247-w
Abstract: In this paper, we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the… read more here.
Keywords: models arising; finance; volatility models; local volatility ... See more keywords
Lie symmetry methods for local volatility models
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DOI: 10.1016/j.spa.2019.10.009
Abstract: Abstract We investigate PDEs of the form u t = 1 2 σ 2 ( t , x ) u x x − g ( x ) u which are associated with the calculation of… read more here.
Keywords: volatility; volatility models; lie symmetry; symmetry methods ... See more keywords
A stochastic local volatility technique for TARN options
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DOI: 10.1080/00207160.2019.1608357
Abstract: ABSTRACT Target Accumulation Redemption Notes (TARN) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this work, we solve… read more here.
Keywords: technique tarn; local volatility; stochastic local; volatility technique ... See more keywords