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Paper / 2026SMQ / 196705745843379
On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
Long Teng
numerical methods / option pricingResource overview

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

Paper2026

by Long Teng

Tags
numerical methodsoption pricingstochastic calculusstochastic differential equations

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Suggested foundations for volatility models and surfaces and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Conditional Expectation

    Understand what it means to condition on current information.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Advanced Derivatives and Exotic Options Explore Derivatives Pricing and Computational Finance

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