Bayesian uncertainty quantification of local volatility model
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Publication:6108893
DOI10.1007/s13571-022-00286-1arXiv2105.10210OpenAlexW3165435151MaRDI QIDQ6108893
Publication date: 30 June 2023
Published in: Sankhyā. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.10210
Gaussian processes (60G15) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical differentiation (65D25)
Cites Work
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