Calibration of local correlation models to basket smiles
Julien Guyon
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Guyon, Julien |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017, 1, p. 1-51
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| Subject: | local correlation | calibration | particle method | McKean nonlinear stochastic differential equation (SDE) | path-dependent correlation | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Analysis | Mathematical analysis | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.326 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691606