Fast calibration of the libor market model with stochastic volatility and displaced diffusion (Q2190303)
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scientific article; zbMATH DE number 7213107
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| English | Fast calibration of the libor market model with stochastic volatility and displaced diffusion |
scientific article; zbMATH DE number 7213107 |
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Fast calibration of the libor market model with stochastic volatility and displaced diffusion (English)
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18 June 2020
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libor market model
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stochastic volatility
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displaced diffusion
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swaption pricing
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model calibration
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Edgeworth expansions
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Gram-Charlier expansions
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0.7801762819290161
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0.774361789226532
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0.7702575325965881
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0.7627758383750916
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0.7502469420433044
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