Advanced search
Publication Cover
International Journal of Computer Mathematics Volume 96, 2019 - Issue 11: International Conference on Computational Finance 2017 (ICCF 2017)
Submit an article Journal homepage
150
Views
8
CrossRef citations to date
0
Altmetric
Original Articles

The collocating local volatility framework – a fresh look at efficient pricing with smile

Lech A. GrzelakFinancial Engineering, Rabobank Nederland, Utrecht, Netherlands;Delft Institute of Applied Mathematics (DIAM), Delft University of Technology, Delft, NetherlandsCorrespondence[email protected] [email protected]
Pages 2209-2228 | Received 05 Jan 2018, Accepted 13 Sep 2018, Published online: 18 Dec 2018

Citations (8)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Lech A. Grzelak, Juliusz Jablecki & Dariusz Gatarek. (2023) Efficient pricing and calibration of high-dimensional basket options. International Journal of Computer Mathematics 0:0, pages 1-24.
Read now
Eunchae Park, Jisang Lyu, Sangkwon Kim, Chaeyoung Lee, Wonjin Lee, Yongho Choi, Soobin Kwak, Changwoo Yoo, Hyeongseok Hwang & Junseok Kim. (2022) Calibration of the temporally varying volatility and interest rate functions. International Journal of Computer Mathematics 99:5, pages 1066-1079.
Read now

Articles from other publishers (6)

Jorino van Rhijn, Cornelis W. Oosterlee, Lech A. Grzelak & Shuaiqiang Liu. (2022) Monte Carlo simulation of SDEs using GANs. Japan Journal of Industrial and Applied Mathematics 40:3, pages 1359-1390.
Crossref
Xin‐Jiang He & Sha Lin. (2023) Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure. Journal of Futures Markets 43:7, pages 951-967.
Crossref
Shuaiqiang Liu, Lech A. Grzelak & Cornelis W. Oosterlee. (2022) The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations. Risks 10:3, pages 47.
Crossref
ANTHONIE W. VAN DER STOEP, LECH A. GRZELAK & CORNELIS W. OOSTERLEE. (2020) COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS. International Journal of Theoretical and Applied Finance 23:06, pages 2050038.
Crossref
S Prokhorov & V Fedorov. (2020) The application of automated systems in construction. IOP Conference Series: Materials Science and Engineering 896:1, pages 012002.
Crossref
Anthonie van der Stoep, Lech Aleksander Grzelak & Cornelis W. Oosterlee. (2018) Collocating Local Volatility: A Competitive Alternative to Stochastic Local Volatility Models. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.