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

doi:10.1109/CIFEr.2014.6924097

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

School of Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

1 Citation (Scopus)

Original language	English
Title of host publication	Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)
Editors	Antoaneta Serguieva, Dietmar Maringer, Vasile Palade, Rui Jorge Almeida
Place of Publication	USA
Publisher	IEEE, Institute of Electrical and Electronics Engineers
Pages	370 - 377
Number of pages	8
ISBN (Print)	9781479923809
DOIs	https://doi.org/10.1109/CIFEr.2014.6924097
Publication status	Published - 2014
Event	IEEE Symposium on Computational Intelligence for Financial Engineering 2014 - London, United Kingdom Duration: 27 Mar 2014 → 28 Mar 2014 https://ieeexplore.ieee.org/xpl/conhome/6901616/proceeding (Proceedings)

Conference

Conference	IEEE Symposium on Computational Intelligence for Financial Engineering 2014
Abbreviated title	IEEE CIFEr 2014
Country/Territory	United Kingdom
City	London
Period	27/03/14 → 28/03/14
Internet address	https://ieeexplore.ieee.org/xpl/conhome/6901616/proceeding (Proceedings)

Access to Document

10.1109/CIFEr.2014.6924097

Cite this

Tian, Y., Zhu, Z., Lee, G. M., Lo, T., Klebaner, F. C., & Hamza, K. (2014). Pricing window barrier options with a hybrid stochastic-local volatility model. In A. Serguieva, D. Maringer, V. Palade, & R. J. Almeida (Eds.), Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) (pp. 370 - 377). IEEE, Institute of Electrical and Electronics Engineers. https://doi.org/10.1109/CIFEr.2014.6924097

Tian, Yu ; Zhu, Zili ; Lee, Geoffrey Matthew et al. / Pricing window barrier options with a hybrid stochastic-local volatility model. Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). editor / Antoaneta Serguieva ; Dietmar Maringer ; Vasile Palade ; Rui Jorge Almeida. USA : IEEE, Institute of Electrical and Electronics Engineers, 2014. pp. 370 - 377

@inproceedings{c235fb97018245f19409987326603a13,

title = "Pricing window barrier options with a hybrid stochastic-local volatility model",

author = "Yu Tian and Zili Zhu and Lee, \{Geoffrey Matthew\} and Thomas Lo and Klebaner, \{Fima C\} and Kais Hamza",

year = "2014",

doi = "10.1109/CIFEr.2014.6924097",

language = "English",

isbn = "9781479923809",

pages = "370 -- 377",

editor = "Antoaneta Serguieva and Dietmar Maringer and Vasile Palade and Almeida, \{Rui Jorge\}",

booktitle = "Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering \& Economics (CIFEr)",

publisher = "IEEE, Institute of Electrical and Electronics Engineers",

address = "United States of America",

note = "IEEE Symposium on Computational Intelligence for Financial Engineering 2014, IEEE CIFEr 2014 ; Conference date: 27-03-2014 Through 28-03-2014",

url = "https://ieeexplore.ieee.org/xpl/conhome/6901616/proceeding",

}

Tian, Y, Zhu, Z, Lee, GM, Lo, T, Klebaner, FC & Hamza, K 2014, Pricing window barrier options with a hybrid stochastic-local volatility model. in A Serguieva, D Maringer, V Palade & RJ Almeida (eds), Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, Institute of Electrical and Electronics Engineers, USA, pp. 370 - 377, IEEE Symposium on Computational Intelligence for Financial Engineering 2014, London, United Kingdom, 27/03/14. https://doi.org/10.1109/CIFEr.2014.6924097

Pricing window barrier options with a hybrid stochastic-local volatility model. / Tian, Yu; Zhu, Zili; Lee, Geoffrey Matthew et al.
Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). ed. / Antoaneta Serguieva; Dietmar Maringer; Vasile Palade; Rui Jorge Almeida. USA: IEEE, Institute of Electrical and Electronics Engineers, 2014. p. 370 - 377.

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

TY - GEN

T1 - Pricing window barrier options with a hybrid stochastic-local volatility model

AU - Tian, Yu

AU - Zhu, Zili

AU - Lee, Geoffrey Matthew

AU - Lo, Thomas

AU - Klebaner, Fima C

AU - Hamza, Kais

PY - 2014

Y1 - 2014

U2 - 10.1109/CIFEr.2014.6924097

DO - 10.1109/CIFEr.2014.6924097

M3 - Conference Paper

SN - 9781479923809

SP - 370

EP - 377

BT - Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)

A2 - Serguieva, Antoaneta

A2 - Maringer, Dietmar

A2 - Palade, Vasile

A2 - Almeida, Rui Jorge

PB - IEEE, Institute of Electrical and Electronics Engineers

CY - USA

T2 - IEEE Symposium on Computational Intelligence for Financial Engineering 2014

Y2 - 27 March 2014 through 28 March 2014

ER -

Tian Y, Zhu Z, Lee GM, Lo T, Klebaner FC , Hamza K. Pricing window barrier options with a hybrid stochastic-local volatility model. In Serguieva A, Maringer D, Palade V, Almeida RJ, editors, Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). USA: IEEE, Institute of Electrical and Electronics Engineers. 2014. p. 370 - 377 doi: 10.1109/CIFEr.2014.6924097