Option pricing under hybrid stochastic and local volatility

Sun Yong Choi, Jean Pierre Fouque, Jeong-Hoon Kim

Research output: Contribution to journalArticle

14 Citations (Scopus)
Original languageEnglish
Pages (from-to)1157-1165
Number of pages9
JournalQuantitative Finance
Volume13
Issue number8
DOIs
Publication statusPublished - 2013 Aug 1

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Option pricing
Stochastic volatility
Local volatility

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics, Econometrics and Finance(all)

Cite this

Choi, Sun Yong ; Fouque, Jean Pierre ; Kim, Jeong-Hoon. / Option pricing under hybrid stochastic and local volatility. In: Quantitative Finance. 2013 ; Vol. 13, No. 8. pp. 1157-1165.
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Option pricing under hybrid stochastic and local volatility. / Choi, Sun Yong; Fouque, Jean Pierre; Kim, Jeong-Hoon.

In: Quantitative Finance, Vol. 13, No. 8, 01.08.2013, p. 1157-1165.

Research output: Contribution to journalArticle

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