Rough PDEs for local stochastic volatility models

MaRDI QIDQ6444151FDO

Authors Peter Bank, Christian Bayer, Peter Friz, Luca Pelizzari

Publication date 18 July 2023

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Rough partial differential equations (60L50)

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