Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
Julien Hok, Shih-Hau Tan
| Year of publication: |
2019
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|---|---|
| Authors: | Hok, Julien ; Tan, Shih-Hau |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 609-637
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| Subject: | Local volatility model | Stochastic interest rates | Hybrid | Calibration | Forward Fokker-Planck-type equation | Alternating direction implicit (ADI) method | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zins | Interest rate | Black-Scholes-Modell | Black-Scholes model | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00232-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127281