Multi-asset and generalised Local Volatility. An efficient implementation

TL;DR

This paper introduces a versatile hybrid numerical method capable of efficiently pricing various options across multiple assets, including those with stochastic features, enhancing computational approaches for complex financial derivatives.

Contribution

The paper presents a novel hybrid numerical implementation that efficiently prices multi-asset options with local volatility and stochastic parameters, extending existing methods.

Findings

Efficient pricing of multi-asset options with local volatility.

Applicable to assets with stochastic drift or volatility.

Improved computational performance over traditional methods.

Abstract

This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local volatility.