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We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model.
On the numerical solution of heat conduction problems in two and three space variables
J. Douglas and H. Rachford · 1956
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Mimicking the One-Dimensional Marginal Distributions of Processes Having an Itô Differential
I. Gyongy · 1986
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
S. L. Heston · 1993
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Pricing with a smile
B. Dupire · 1994
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Regularization of inverse problems
H. W. Engl, M. Hanke, and A. Neubauer · 1996
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Managing Smile Risk
P. S. Hagan, D. Kumar, A. S. Lesniewski, and D. E. Woodward · 2002
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Computational methods for inverse problems
C. R. Vogel · 2002
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Stochastic local volatility
C. Alexander and L. M. Nogueira · 2004
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Heston’s Stochastic Volatility Model: Implementation, Calibration and Some Extensions
S. Mikhailov and U. Nögel · 2004
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Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
H. Egger and H.W. Engl · 2005
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Smile interpolation and calibration of the local volatility model
N. Kahalé · 2005
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The Volatility Surface - A Practitioner’s Guide
J. Gatheral · 2006
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Statistical and computational inverse problems
J. Kaipio and E. Somersalo · 2006
Cited alongside, same era.
Stochastic Volatility Surface Estimation
S. Nayak and G. Papanicolaou · 2006
Cited alongside, same era.
Calibrating and Pricing with Embedded Local Volatility Models
Y. Ren, D. Madan, and M.Q. Qian · 2007
Cited alongside, same era.
Iterative regularization methods for nonlinear ill-posed problems
B. Kaltenbacher, A. Neubauer, and O. Scherzer · 2008
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Calibration of Local Stochastic Volatility Models: A Monte-Carlo Approach
P. Henry-Labordère · 2009
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Online local volatility calibration by convex regularization
V. Albani and J.P. Zubelli · 2014
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Monte Carlo Pricing Scheme for a Stochastic-Local Volatility Model
G. Lee, Y. Tian, and Z. Zhu · 2014
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The tangential cone condition for the iterative calibration of local volatility surfaces
A. De Cezaro and J.P. Zubelli · 2015
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Calibrating and Pricing with a Stochastic-Local Volatility Model
Y. Tian, Z. Zhu, G. Lee, F. Klebaner, and K. Hamza · 2015
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On the choice of the Tikhonov regularization parameter and the discretization level: a discrepancy-based strategy
V. Albani, A. De Cezaro, and J.P. Zubelli · 2016
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Switching to nonaffine stochastic volatility: A closed-form expansion for the inverse gamma model
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ADI Finite Difference Schemes for Options Pricing in the Heston Model with Correlation
K.J. in ’t Hout and S. Foulon · 2010
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The Smile Calibration Problem Solved
J. Guyon and P. Henry-Labordère · 2011
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Accelerating the Calibration of Stochastic Volatility Models
F. Kilin · 2011
Cited alongside, same era.
Convex regularization of local volatility models from option prices: convergence analysis and rates
A. De Cezaro, O. Cherzer, and J.P. Zubelli · 2012
Cited alongside, same era.
Boundary conditions for computing densities in hybrid models via PDE methods
V. Lucic · 2012
Cited alongside, same era.
N. Langrené, G. Lee, and Z. Zhu · 2016
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Data driven recovery of local volatility surfaces
V. Albani, U. Ascher, X. Yang, and J.P. Zubelli · 2017
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Local volatility models in commodity markets and online calibration
V. Albani, U. Ascher, and J.P. Zubelli · 2017
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Convex regularization of local volatility estimation
V. Albani, A. De Cezaro, and J.P. Zubelli · 2017
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Existence of a calibrated regime switching local volatility model and new fake brownian motions
B. Jourdain and A. Zhou · 2017
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An adjoint method for the exact calibration of stochastic local volatility models
M. Wyns and K.J. in ’t Hout · 2017
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