Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434)
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scientific article; zbMATH DE number 6249311
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast Ninomiya–Victoir calibration of the double-mean-reverting model |
scientific article; zbMATH DE number 6249311 |
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Fast Ninomiya–Victoir calibration of the double-mean-reverting model (English)
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23 January 2014
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stochastic volatility
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Monte Carlo
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model calibration
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cubature
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Ninomiya-Victoir scheme
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