Local Volatility Under Stochastic Interest Rates Using Mixture Models PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Local Volatility Under Stochastic Interest Rates Using Mixture Models PDF full book. Access full book title Local Volatility Under Stochastic Interest Rates Using Mixture Models by Mark S. Joshi. Download full books in PDF and EPUB format.

Local Volatility Under Stochastic Interest Rates Using Mixture Models

Local Volatility Under Stochastic Interest Rates Using Mixture Models PDF Author: Mark S. Joshi
Publisher:
ISBN:
Category :
Languages : en
Pages : 22

Get Book Here

Book Description
A key requirement of any equity hybrid derivatives pricing model is the ability to rapidly and accurately calibrate to vanilla option prices. To this end, we present two methods for calibrating a local volatility model under correlated stochastic interest rates. This is achieved by first fitting a mixture model to market prices, and then determining the local volatility function that is consistent with this mixture model.