2 papers
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.PR2015
Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations
Karol Duris, Shih-Hau Tan, Choi-Hong Lai +1
Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio and other nonlinear effects in PDE based option pricing models can be described…