Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434): Difference between revisions
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scientific article
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English | Fast Ninomiya–Victoir calibration of the double-mean-reverting model |
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Fast Ninomiya–Victoir calibration of the double-mean-reverting model (English)
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23 January 2014
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stochastic volatility
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Monte Carlo
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model calibration
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cubature
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Ninomiya-Victoir scheme
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