Added Collocating Local Volatility Model #117

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klausspanderen commented Aug 7, 2016

References:

    L.A. Grzelak, 2016, The CLV Framework -
    A Fresh Look at Efficient Pricing with Smile
    http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2747541

    L.A. Grzelak, J.A.S. Witteveen, M.Suárez-Taboada, C.W. Oosterlee,
    The Stochastic Collocation Monte Carlo Sampler: Highly efficient
    sampling from “expensive” distributions
    http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2529691

@klausspanderen klausspanderen changed the title from Added Collocation Local Volatility Model to Added Collocating Local Volatility Model Aug 7, 2016

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klausspanderen Sep 18, 2016

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need to re-submit the pull request after reorganisation of my repository.

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klausspanderen commented Sep 18, 2016

need to re-submit the pull request after reorganisation of my repository.

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