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- W2742777424 abstract "In this paper, we present our implementations of the Local Stochastic Volatility (LSV) Model in pricing exotic options in FX Market. Firstly, we briefly discuss the limitations of the Black-Scholes model, the Local Volatility (LV) Model and the Stochastic Volatility (SV) Model. To overcome the drawbacks of the above three models, a more generalized LSV model has been proposed to describe the dynamics of implied volatilities. Secondly, we present the details of LSV Model calibration in terms of the Forward Kolgomorov equation. Thirdly, we introduce the numerical methods of option pricing using the LSV model, including both the Backward Partial Differential Equation (PDE) method and Forward Monte Carlo method. Finally, based on our implementations, we compare the calibration and pricing results of the LSV model with the LV model and the SV model, lower calibration errors and relatively accurate pricing results are achieved, which demonstrates the effectiveness of the methods presented in the paper." @default.
- W2742777424 created "2017-08-17" @default.
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- W2742777424 date "2017-01-01" @default.
- W2742777424 modified "2023-09-26" @default.
- W2742777424 title "Implementation of Local Stochastic Volatility Model in FX Derivatives" @default.
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- W2742777424 doi "https://doi.org/10.1007/978-3-662-54486-0_4" @default.
- W2742777424 hasPublicationYear "2017" @default.
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