Rough PDEs for local stochastic volatility models

arXiv2307.09216MaRDI QIDQ6444151FDOQ6444151

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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