Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Oct. 2011, Shiga)
Some Simulation Results of the Put-Call Symmetry Method Applied to Stochastic Volatility Models
Yuri Imamura, Yuta Ishigaki
Author information
Keywords: Barrier option, Stochastic volatility model, numerical method, Heston model, λ-SABR model
JOURNAL FREE ACCESS

2012 Volume 2012 Pages 242-245

Details
Download PDF (327K)
Download citation RIS

(compatible with EndNote, Reference Manager, ProCite, RefWorks)

BIB TEX

(compatible with BibDesk, LaTeX)

Text
How to download citation
Contact us
Abstract

This paper provides some results of numerical experiments of the Put-Call Symmetry method proposed by the authors in [4] under Heston and λ-SABR models.

Content from these authors
© 2012 ISCIE Symposium on Stochastic Systems Theory and Its Applications
Previous article Next article
Favorites & Alerts

Recently viewed articles
Share this page
feedback
 Top