CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION (Q5066306)
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scientific article; zbMATH DE number 7499773
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION |
scientific article; zbMATH DE number 7499773 |
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CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION (English)
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29 March 2022
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local volatility
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stochastic rates
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stochastic volatility
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calibration
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Monte Carlo
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