We review a model for computing the price, in the domestic currency, of European standard call and put options on an underlying foreign equity (stock or index) with tenor of up to 7 years. The function implements a local volatility based pricing method.https://ia904701.us.archive.org/21/items/prepayment-neural-net/PrepaymentNeuralNet.pd
Pricing of a derivative should be fast and accurate, otherwise it cannot be calibrated efficiently. ...
Using market European option prices, a method for computing a smooth local volatility function in a...
A quanto option is an option whose payout is made in a currency other than that of the underlying se...
We review a model for computing the price, in the domestic currency, of European standard call and p...
We present a model for calculating the price of European call and put options in the domestic curren...
We study the local volatility function in the foreign exchange (FX) market, where both domestic and ...
We study the local volatility function in the Foreign Exchange market where both domestic and foreig...
Abstract. Using market European option prices, a method for computing a smooth local volatility func...
Abstract. Using market European option prices, a method for computing a smooth local volatility func...
[Abstract]: This paper presents a general optimization framework to forecast put and call option pri...
Using market European option prices, a method for computing a {\em smooth} local volatility function...
In this paper, we derive pricing equations for the European call option under Scott’s stochastic vol...
In this paper we propose the first calibration exercise based on quantization methods. Pricing and c...
International audienceBecause of its very general formulation, the local volatility model does not h...
A general purpose of mathematical models is to accurately mimic some observed phenomena in the real ...
Pricing of a derivative should be fast and accurate, otherwise it cannot be calibrated efficiently. ...
Using market European option prices, a method for computing a smooth local volatility function in a...
A quanto option is an option whose payout is made in a currency other than that of the underlying se...
We review a model for computing the price, in the domestic currency, of European standard call and p...
We present a model for calculating the price of European call and put options in the domestic curren...
We study the local volatility function in the foreign exchange (FX) market, where both domestic and ...
We study the local volatility function in the Foreign Exchange market where both domestic and foreig...
Abstract. Using market European option prices, a method for computing a smooth local volatility func...
Abstract. Using market European option prices, a method for computing a smooth local volatility func...
[Abstract]: This paper presents a general optimization framework to forecast put and call option pri...
Using market European option prices, a method for computing a {\em smooth} local volatility function...
In this paper, we derive pricing equations for the European call option under Scott’s stochastic vol...
In this paper we propose the first calibration exercise based on quantization methods. Pricing and c...
International audienceBecause of its very general formulation, the local volatility model does not h...
A general purpose of mathematical models is to accurately mimic some observed phenomena in the real ...
Pricing of a derivative should be fast and accurate, otherwise it cannot be calibrated efficiently. ...
Using market European option prices, a method for computing a smooth local volatility function in a...
A quanto option is an option whose payout is made in a currency other than that of the underlying se...
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