Option pricing under hybrid stochastic and local volatility

Sun Yong Choi; Jean Pierre Fouque; Jeong Hoon Kim

doi:10.1080/14697688.2013.780209

Option pricing under hybrid stochastic and local volatility

Sun Yong Choi, Jean Pierre Fouque, Jeong Hoon Kim

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

31 Citations (Scopus)

Original language	English
Pages (from-to)	1157-1165
Number of pages	9
Journal	Quantitative Finance
Volume	13
Issue number	8
DOIs	https://doi.org/10.1080/14697688.2013.780209
Publication status	Published - 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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10.1080/14697688.2013.780209

Cite this

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title = "Option pricing under hybrid stochastic and local volatility",

author = "Choi, {Sun Yong} and Fouque, {Jean Pierre} and Kim, {Jeong Hoon}",

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).",

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AU - Kim, Jeong Hoon

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Option pricing under hybrid stochastic and local volatility

Bibliographical note

All Science Journal Classification (ASJC) codes

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