Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434): Difference between revisions
From MaRDI portal
Latest revision as of 06:02, 7 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Fast Ninomiya–Victoir calibration of the double-mean-reverting model |
scientific article |
Statements
Fast Ninomiya–Victoir calibration of the double-mean-reverting model (English)
0 references
23 January 2014
0 references
stochastic volatility
0 references
Monte Carlo
0 references
model calibration
0 references
cubature
0 references
Ninomiya-Victoir scheme
0 references
0 references
0 references