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Published in 2019 at "International Journal of Computer Mathematics"
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…
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Keywords:
project;
stochastic local;
formulation;
option pricing ... See more keywords