A novel Monte Carlo approach to hybrid local volatility models

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@article{a7f4da27aa144584a19d7cb1b6802e23,

title = "A novel Monte Carlo approach to hybrid local volatility models",

author = "{van der Stoep}, A.W. and L.A. Grzelak and C.W. Oosterlee",

year = "2017",

doi = "10.1080/14697688.2017.1280613",

language = "Undefined/Unknown",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Taylor and Francis Ltd.",

}

TY - JOUR

T1 - A novel Monte Carlo approach to hybrid local volatility models

AU - van der Stoep, A.W.

AU - Grzelak, L.A.

AU - Oosterlee, C.W.

PY - 2017

Y1 - 2017

UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-85014799420&partnerID=MN8TOARS

U2 - 10.1080/14697688.2017.1280613

DO - 10.1080/14697688.2017.1280613

M3 - Article

SN - 1469-7688

JO - Quantitative Finance

JF - Quantitative Finance

ER -