A hybrid stochastic volatility model incorporating local volatility

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Original languageEnglish
Title of host publicationProceedings of the Fourth International Conference on Computational and Information Sciences
EditorsWensheng Shen, Yan Wang, Xinyu Geng
Place of PublicationNew Jersey USA
PublisherIEEE, Institute of Electrical and Electronics Engineers
Pages333 - 336
Number of pages4
ISBN (Print)9780769547893
DOIs
Publication statusPublished - 2012
EventInternational Conference on Computational and Information Sciences 2012 - Chongqing, China
Duration: 17 Aug 201219 Aug 2012
Conference number: 4th
https://dl.acm.org/citation.cfm?id=2374485&picked=prox
http://toc.proceedings.com/15952webtoc.pdf

Conference

ConferenceInternational Conference on Computational and Information Sciences 2012
Abbreviated titleICCIS 2012
CountryChina
CityChongqing
Period17/08/1219/08/12
Internet address

Cite this

Tian, Y., Zhu, Z., Klebaner, F. C., & Hamza, K. (2012). A hybrid stochastic volatility model incorporating local volatility. In W. Shen, Y. Wang, & X. Geng (Eds.), Proceedings of the Fourth International Conference on Computational and Information Sciences (pp. 333 - 336). IEEE, Institute of Electrical and Electronics Engineers. https://doi.org/10.1109/ICCIS.2012.20