Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods (Q2292056)
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English | Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods |
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Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods (English)
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31 January 2020
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local volatility model
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stochastic interest rates
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hybrid
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calibration
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forward Fokker-Planck-type equation
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alternating direction implicit (ADI) method
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