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I read the paper "Monte Carlo pricing with local volatility grids" (authors: D.F. Abasto, B. Hientzsch and M.P. Kust) and I would like to know if anyone on this forum had a chance to implement it as I have practical questions related its concrete implementation. Could you please explain me what difference exists between the original paper from Andreasen-Huge and this paper? And what would be the impact in terms of implementation (optimization approach)? Many thanks.

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closed as unclear what you're asking by Bob Jansen Apr 4 '16 at 20:59

Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.

  • $\begingroup$ Just ask your question, this seems on-topic. $\endgroup$ – Bob Jansen Apr 4 '16 at 20:59