Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods (Q2292056)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods |
scientific article |
Statements
Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods (English)
0 references
31 January 2020
0 references
local volatility model
0 references
stochastic interest rates
0 references
hybrid
0 references
calibration
0 references
forward Fokker-Planck-type equation
0 references
alternating direction implicit (ADI) method
0 references
0 references
0 references
0 references
0 references
0 references
