Fast Ninomiya–Victoir calibration of the double-mean-reverting model

DOI10.1080/14697688.2013.818245zbMath1290.91155OpenAlexW3125236214MaRDI QIDQ2871434

Christian Bayer, Morten Karlsmark, Jim Gatheral

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.818245

zbMATH Keywords

cubatureMonte Carlostochastic volatilitymodel calibrationNinomiya-Victoir scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• minpack

Cites Work

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