12 citations · 19 across the 6 of their papers we have counts for
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q-fin.MF2020★ 5 cited
Calibrating Local Volatility Models with Stochastic Drift and Diffusion
Orcan Ogetbil, Narayan Ganesan, Bernhard Hientzsch
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and…
q-fin.MF2020
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
Orcan Ogetbil, Bernhard Hientzsch
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as diff…