On the Weak Error for Local Stochastic Volatility Models

MaRDI QIDQ7180878arXivFDO

Authors Peter Friz, Benjamin Jourdain, Thomas Wagenhofer, Alexandre Zhou

Publication date 2025

Published in arXiv

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

arXiv classification

math.PR

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