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q-fin.MF2018
Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method
Julien Hok, Shih-Hau Tan
Long maturity options or a wide class of hybrid products are evaluated using a local volatility type modelling for the asset price S(t) with a stochastic interest rate r(t). The ca…
q-fin.MF2016
Option pricing with Legendre polynomials
Julien Hok, Tat Lung Chan
Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function w…