Existence of a calibrated regime switching local volatility model (Q5109975)
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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)
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14 May 2020
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calibration
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diffusions nonlinear in the sense of McKean
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Dupire's local volatility
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Fokker-Planck systems
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local and stochastic volatility models
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