Calibrating local volatility models with stochastic drift and diffusion (Q5066306)
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scientific article; zbMATH DE number 7499773
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| English | Calibrating local volatility models with stochastic drift and diffusion |
scientific article; zbMATH DE number 7499773 |
Statements
CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION (English)
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29 March 2022
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local volatility
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stochastic rates
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stochastic volatility
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calibration
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Monte Carlo
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0.852446973323822
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0.8322545289993286
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0.8217746615409851
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0.8070700764656067
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0.7985007166862488
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