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10.1080/14697688.2017.1280613
en
Routledge
Quantitative Finance, 2017. doi:10.1080/14697688.2017.1280613
Anthonie W. van der Stoep
Lech A. Grzelak
Cornelis W. Oosterlee
Local volatility
Monte Carlo
Hybrid
Stochastic volatility
Stochastic local volatility
Stochastic interest rates
Stochastic collocation
Regression
SABR
Heston
Hull–White
A novel Monte Carlo approach to hybrid local volatility models
Journal
Quantitative Finance
© 2017 Informa UK Limited, trading as Taylor & Francis Group
1469-7688
1469-7696
1
21
10.1080/14697688.2017.1280613
http://dx.doi.org/10.1080/14697688.2017.1280613
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