Pricing window barrier options with a hybrid stochastic-local volatility model

Yu Tian, Zili Zhu, Geoffrey Matthew Lee, Thomas Lo, Fima C Klebaner, Kais Hamza

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

Original languageEnglish
Title of host publicationProceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)
EditorsAntoaneta Serguieva, Dietmar Maringer, Vasile Palade, Rui Jorge Almeida
Place of PublicationUSA
PublisherIEEE, Institute of Electrical and Electronics Engineers
Pages370 - 377
Number of pages8
ISBN (Print)9781479923809
DOIs
Publication statusPublished - 2014
EventIEEE Symposium on Computational Intelligence for Financial Engineering 2014 - London, United Kingdom
Duration: 27 Mar 201428 Mar 2014
https://ieeexplore.ieee.org/xpl/conhome/6901616/proceeding (Proceedings)

Conference

ConferenceIEEE Symposium on Computational Intelligence for Financial Engineering 2014
Abbreviated titleIEEE CIFEr 2014
CountryUnited Kingdom
CityLondon
Period27/03/1428/03/14
Internet address

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