A General Valuation Framework for SABR and Stochastic Local Volatility Models.

Zhenyu Cui J. Lars Kirkby Duy Nguyen

Published in: SIAM J. Financial Math. (2018)

Keyphrases

modeling framework
special case
probabilistic model
stochastic models
model selection
mathematical framework
main contribution
closely related
process model
data sets
genetic algorithm
hybrid model
generic model
general theory