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van der Stoep, A.W. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)We discuss a competitive alternative to stochastic local volatility models, namely the Collocating Volatility (CV) framework, introduced in [L. A. Grzelak (2019) The CLV framework-A fresh look at efficient pricing with smile, International Journal of Computer Mathematics 96 (11), 2209-2228]. The CV framework consists of two elements, a ...journal article 2020
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von Sydow, Lina (author), Milovanović, Slobodan (author), Larsson, Elisabeth (author), In 't Hout, Karel (author), Wiktorsson, Magnus (author), Oosterlee, C.W. (author), Shcherbakov, Victor (author), Wyns, Maarten (author), Leitao Rodriguez, A. (author), Jain, S. (author), Haentjens, Tinne (author), Waldén, Johan (author)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 problems for this type of problems. Eight different methods targeted for the Stochastic Differential Equation (SDE)...journal article 2018
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van der Stoep, A.W. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid local volatility [Risk, 1994, 7, 18–20], [Int. J. Theor. Appl. Finance, 1998, 1, 61–110] models. In particular, we consider the stochastic local volatility model—see e.g. Lipton et al. [Quant. Finance, 2014, 14, 1899–1922], Piterbarg [Risk, 2007,...journal article 2017