Existence of a calibrated regime switching local volatility model
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Publication:5109975
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
calibrationlocal and stochastic volatility modelsFokker-Planck systemsdiffusions nonlinear in the sense of McKeanDupire's local volatility
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