Boundary conditions for computing densities in hybrid models via PDE methods
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Publication:3145084
DOI10.1080/17442508.2012.656270zbMath1259.60098OpenAlexW3124274665MaRDI QIDQ3145084
Publication date: 13 December 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2012.656270
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (4)
BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems ⋮ The calibration of stochastic local-volatility models: an inverse problem perspective ⋮ Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
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