Thomas Lo

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

41 Boggo Rd

Dutton Park, Queensland

Australia

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Scholarly Papers (1)

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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
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Citation 2

Abstract:

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