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scientific article; zbMATH DE number 7523539
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scientific article; zbMATH DE number 7523539

    Statements

    author
    Hyeong-Ohk Bae
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    Hyuncheul Lim
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    publication date
    9 May 2022
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    zbMATH Keywords
    time stepwise local volatility
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    Dupire's model
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    Monte Carlo
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    transition density function
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    path integral method
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    Identifiers

    DOI
    10.4134/BKMS.b210391
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    65C05
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    zbMATH DE Number
    7523539
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