THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062)

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THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
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    title
    THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (English)
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    publication date
    21 January 2015
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    Mathematics Subject Classification ID
    91G60
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    60H35
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    65C05
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    91G30
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    zbMATH DE Number
    6389035
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    zbMATH Keywords
    Heston stochastic-local volatility
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    stochastic volatility
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    local volatility
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    Heston
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    hybrid models
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    calibration
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    Monte Carlo
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    OpenAlex ID
    W3123296785
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