Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245)
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scientific article; zbMATH DE number 6860070
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| English | Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets |
scientific article; zbMATH DE number 6860070 |
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Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (English)
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16 April 2018
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Heston model
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shifted square-root process
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calibration
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Monte Carlo simulation
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exponential integrability
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strong convergence
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