Option pricing under hybrid stochastic and local volatility

Sun Yong Choi, Jean Pierre Fouque, Jeong Hoon Kim

Research output: Contribution to journalArticlepeer-review

17 Citations (Scopus)
Original languageEnglish
Pages (from-to)1157-1165
Number of pages9
JournalQuantitative Finance
Volume13
Issue number8
DOIs
Publication statusPublished - 2013 Aug

Bibliographical note

Funding Information:
We thank the anonymous referees for constructive comments and suggestions that helped to improve the original manuscript. The work of the third author was supported by the National Research Foundation of Korea (NRF-2010-0008717 and NRF-2011-013-C00009).

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics, Econometrics and Finance(all)

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