BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
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DOI: 10.1080/00207160.2018.1544368
Abstract: ABSTRACT In the recent project BENCHOP – the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark… read more here.
Keywords: project; stochastic local; formulation; option pricing ... See more keywords