Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434): Difference between revisions

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Latest revision as of 07:02, 7 July 2024

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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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