Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
In this paper, we consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options. The method builds on the forward partial integro-differential equation (PIDE) derived by B. Hambly, M. Mariapragassam and...
| Auteurs principaux: | , , |
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| Format: | Journal article |
| Langue: | English |
| Publié: |
Incisive Media
2021
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