Existence of a calibrated regime switching local volatility model

DOI10.1111/MAFI.12231zbMath1506.91165arXiv1607.00077OpenAlexW2986705830WikidataQ126785522 ScholiaQ126785522MaRDI QIDQ5109975

Alexandre Zhou, Benjamin Jourdain

Publication date: 14 May 2020

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.00077

zbMATH Keywords

calibrationlocal and stochastic volatility modelsFokker-Planck systemsdiffusions nonlinear in the sense of McKeanDupire's local volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fokker-Planck equations (35Q84)

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