Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method (Q5742499)
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scientific article; zbMATH DE number 7054541
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| English | Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method |
scientific article; zbMATH DE number 7054541 |
Statements
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (English)
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14 May 2019
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Heston-type local-stochastic volatility models
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calibration
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particle method
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control variate
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Fokker-Planck equation
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0.852446973323822
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0.8059560656547546
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0.8020203709602356
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0.8008701801300049
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0.7961256504058838
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