Monte Carlo calibration to implied volatility surface under volatility models (Q1684770)
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scientific article; zbMATH DE number 6817585
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo calibration to implied volatility surface under volatility models |
scientific article; zbMATH DE number 6817585 |
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Monte Carlo calibration to implied volatility surface under volatility models (English)
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12 December 2017
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implied volatility surface
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multi-factor stochastic volatility model
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hybrid model
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Fourier transform method
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Monte Carlo simulation
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standard error reduction
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martingale control variate
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GPU parallel computing
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