Geoffrey Lee

Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)

41 Boggo Rd

Dutton Park, Queensland

Australia

SCHOLARLY PAPERS

3

DOWNLOADS

283

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Pricing Window Barrier Options with a Hybrid Stochastic-Local Volatility Model

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics
Number of pages: 8 Posted: 20 Nov 2013 Last Revised: 23 Feb 2014
Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 172 (199,453)
Citation 2

Abstract:

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stochastic-local volatility, leverage function, window barrier, Monte Carlo, finite difference

2.

Switching to Non-Affine Stochastic Volatility: A Closed-Form Expansion for the Inverse Gamma Model

International Journal of Theoretical and Applied Finance, Vol. 19, No. 5, 2016
Number of pages: 30 Posted: 10 Jul 2015 Last Revised: 27 Oct 2016
Nicolas Langrené, Geoffrey Lee and Zili Zhu
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 111 (281,507)
Citation 1

Abstract:

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stochastic volatility, Inverse Gamma, volatility expansion, closed-form pricing, log-normal, mean-reverting SABR

3.

Calibrating and Pricing with a Stochastic-Local Volatility Model

Journal of Derivatives, Spring 2015, Vol. 22, No. 3: pp. 21-39, DOI: 10.3905/jod.2015.22.3.021
Posted: 30 Nov 2012 Last Revised: 17 Mar 2015
Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University

Abstract:

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local volatility, stochastic volatility, leverage function, calibration, exotic options pricing