Long Teng

On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework

In this work, we study the pricing of American options under stochastic local volatility (SLV) models extended by including stochastic correlation driven by an additional stochastic process. We generalize the class of SLV models by incorporating a flexible stochastic correlation structure. To price options within these...