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

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