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Multi-asset and generalised Local Volatility. An efficient implementation

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  • Olivier Deloire
  • Louis Roth

Abstract

This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local volatility.

Suggested Citation

  • Olivier Deloire & Louis Roth, 2024. "Multi-asset and generalised Local Volatility. An efficient implementation," Papers 2411.05425, arXiv.org.
    • Handle: RePEc:arx:papers:2411.05425
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    File URL: http://arxiv.org/pdf/2411.05425
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    1. Griselda Deelstra & Gr�gory Ray�e, 2013. "Local Volatility Pricing Models for Long-Dated FX Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(4), pages 380-402, September.
    2. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    3. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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