Existence of a calibrated regime switching local volatility model (Q5109975): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2986705830 / rank | |||
Normal rank | |||
Revision as of 22:26, 19 March 2024
scientific article; zbMATH DE number 7200943
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Existence of a calibrated regime switching local volatility model |
scientific article; zbMATH DE number 7200943 |
Statements
Existence of a calibrated regime switching local volatility model (English)
0 references
14 May 2020
0 references
calibration
0 references
diffusions nonlinear in the sense of McKean
0 references
Dupire's local volatility
0 references
Fokker-Planck systems
0 references
local and stochastic volatility models
0 references
