A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models

DOI10.1080/00207160.2017.1297805zbMath1404.65115arXiv1611.02961OpenAlexW2571381988MaRDI QIDQ3174925

Maarten Wyns, Jacques Du Toit

Publication date: 18 July 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.02961

zbMATH Keywords

finite volume discretizationcalibrationforward Kolmogorov equationADI methodsstochastic local volatility

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite difference and finite volume methods for ordinary differential equations (65L12) Numerical methods for stiff equations (65L04) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (4)

A Gaussian radial basis function-finite difference technique to simulate the HCIR equation ⋮ The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options ⋮ Calibration of local‐stochastic volatility models by optimal transport ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method

Uses Software

• BoomerAMG

Cites Work

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