Pricing and Rick Analysis in Hyperbolic Local Volatility Model with Quasi‐Monte Carlo

@article{Hok2021PricingAR,
  title={Pricing and Rick Analysis in Hyperbolic Local Volatility Model with Quasi‐Monte Carlo},
  author={Julien Hok and Sergei S. Kucherenko},
  journal={Wilmott},
  year={2021},
  volume={2021},
  pages={62-69}
}
Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of application of Monte Carlo (MC) and Quasi Monte Carlo (QMC) methods for derivative pricing and risk analysis based on Hyperbolic Local Volatility Model. In high-dimensional integration QMC shows a superior performance over MC if the effective dimension of an integrand is not too large. In application to derivative… Expand
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