arXiv (All)
open access
On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
In this work, we study the pricing of American options under stochastic local volatility (SLV) models extended by including stochastic correlation driven by an additional stochastic process. We generalize the class of SLV models by incorporating a flexible stochastic correlation structure. To price
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Local Convergence near Equilibria for Distribution-Dependent SDEs in a Generalized Kantorovich--Rubinstein Metric#1143578
- Equivariance, Curvature and Symmetry in Functional Covariance Estimation#925411
- Equivariance, Curvature and Symmetry in Functional Covariance Estimation#921175
- Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH#942356
- Two-point local time penalizations with various clocks for Lévy processes#927093
Record · ID 1156459
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive