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Added Collocating Local Volatility Model #131

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merged 5 commits into from Feb 3, 2017

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@klausspanderen
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klausspanderen commented Sep 18, 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

resubmitted after clean-up of github fork

klausspanderen added some commits Sep 18, 2016

Added Collocating Local Volatility Model
    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
    
resubmitted after clean-up of github fork

@lballabio lballabio added this to the 1.10 release milestone Jan 10, 2017

@lballabio lballabio merged commit f1820c9 into lballabio:master Feb 3, 2017

lballabio added a commit that referenced this pull request Feb 3, 2017

@klausspanderen klausspanderen deleted the klausspanderen:clv branch Feb 11, 2017

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