CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION

DOI10.1142/S021902492250011XzbMath1484.91497arXiv2009.14764OpenAlexW3089955469MaRDI QIDQ5066306

N. Ganesan, Orcan Ögetbil, Bernhard Hientzsch

Publication date: 29 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.14764

zbMATH Keywords

Monte Carlostochastic volatilitycalibrationlocal volatilitystochastic rates

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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