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.

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