A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models |
scientific article |
Statements
A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (English)
0 references
18 July 2018
0 references
stochastic local volatility
0 references
forward Kolmogorov equation
0 references
finite volume discretization
0 references
ADI methods
0 references
calibration
0 references
0 references
0 references
0 references
0 references
