Stochastic local volatility models and the Wei-Norman factorization method (Q6105360)
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scientific article; zbMATH DE number 7702073
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic local volatility models and the Wei-Norman factorization method |
scientific article; zbMATH DE number 7702073 |
Statements
Stochastic local volatility models and the Wei-Norman factorization method (English)
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26 June 2023
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Wei-Norman
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Lie algebraic methods
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stochastic local volatility model
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Monte Carlo simulations
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