Cubature Method for Stochastic Volterra Integral Equations

DOI10.1137/22m146889xzbMath1530.91612arXiv2110.12853OpenAlexW3211233680MaRDI QIDQ6070668

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Publication date: 23 November 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.12853

zbMATH Keywords

stochastic Taylor expansioncubature formulastochastic Volterra integral equationsfractional stochastic volatility modelrough volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Numerical quadrature and cubature formulas (65D32) Stochastic integral equations (60H20)

Cites Work

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