Monte Carlo pricing scheme for a stochastic-local volatility model

Geoffrey Matthew Lee, Yu Tian, Zili Zhu

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

1 Citation (Scopus)
Original languageEnglish
Title of host publicationProceedings Book of World Congress on Engineering 2014
EditorsS I Ao, Len Gelman, Alexander M Korsunsky
Place of PublicationHong Kong
PublisherNewswood Limited
Pages1 - 6
Number of pages6
Volume2
ISBN (Print)9789881925350
Publication statusPublished - 2014
EventWorld Congress on Engineering 2014 - Imperial College London, London, United Kingdom
Duration: 2 Jul 20144 Jul 2014
http://www.iaeng.org/WCE2014/

Conference

ConferenceWorld Congress on Engineering 2014
Abbreviated titleWCE 2014
CountryUnited Kingdom
CityLondon
Period2/07/144/07/14
Internet address

Cite this

Lee, G. M., Tian, Y., & Zhu, Z. (2014). Monte Carlo pricing scheme for a stochastic-local volatility model. In S. I. Ao, L. Gelman, & A. M. Korsunsky (Eds.), Proceedings Book of World Congress on Engineering 2014 (Vol. 2, pp. 1 - 6). Hong Kong: Newswood Limited.
Lee, Geoffrey Matthew ; Tian, Yu ; Zhu, Zili. / Monte Carlo pricing scheme for a stochastic-local volatility model. Proceedings Book of World Congress on Engineering 2014. editor / S I Ao ; Len Gelman ; Alexander M Korsunsky. Vol. 2 Hong Kong : Newswood Limited, 2014. pp. 1 - 6
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volume = "2",
pages = "1 -- 6",
editor = "Ao, {S I} and Len Gelman and Korsunsky, {Alexander M}",
booktitle = "Proceedings Book of World Congress on Engineering 2014",
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Lee, GM, Tian, Y & Zhu, Z 2014, Monte Carlo pricing scheme for a stochastic-local volatility model. in SI Ao, L Gelman & AM Korsunsky (eds), Proceedings Book of World Congress on Engineering 2014. vol. 2, Newswood Limited, Hong Kong, pp. 1 - 6, World Congress on Engineering 2014, London, United Kingdom, 2/07/14.

Monte Carlo pricing scheme for a stochastic-local volatility model. / Lee, Geoffrey Matthew; Tian, Yu; Zhu, Zili.

Proceedings Book of World Congress on Engineering 2014. ed. / S I Ao; Len Gelman; Alexander M Korsunsky. Vol. 2 Hong Kong : Newswood Limited, 2014. p. 1 - 6.

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

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SN - 9789881925350

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Lee GM, Tian Y, Zhu Z. Monte Carlo pricing scheme for a stochastic-local volatility model. In Ao SI, Gelman L, Korsunsky AM, editors, Proceedings Book of World Congress on Engineering 2014. Vol. 2. Hong Kong: Newswood Limited. 2014. p. 1 - 6