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Heston Stochastic Local Volatility Model, Heston Model, Local Volatility Model, Derivatives Pricing, Finite Volume Scheme
Monte Carlo Simulation, Pricing, Greeks, Variance Reduction, Payoff-Smoothing, Importance-Sampling, Auto-Callable, Trigger Product
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File name: SSRN-id3122314.pdf Size: 508K
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Monte Carlo, autocallable, payoff smoothing, finite-difference Greeks, importance sampling, path recycling.
local correlation, path-dependent volatility, path-dependent correlation, calibration, particle method
gap risk, barrier management, overhedging
File name: SSRN-id3317654.pdf Size: 1029K
local correlation, Monte Carlo, Gyongy’s theorem, pairwise correlation, local in index correlation, Markovian projection.
