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The calibration of stochastic local-volatility models: An inverse problem perspective · Study

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ArticleThe calibration of stochastic local-volatility models: An inverse problem perspective

Yuri F. Saporito2019

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Articlebronze2019

The calibration of stochastic local-volatility models: An inverse problem perspective

Yuri F. Saporito · Xu Yang · Jorge Passamani Zubelli

20 citations·0/0 files stored·Computers & Mathematics with Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Numerical methods in inverse problems

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2006The Volatility Surface: A Practitioner's Guide 1986Mimicking the one-dimensional marginal distributions of processes having an ito differential 2002Calibration of the local volatility in a trinomial tree using Tikhonov regularization 2011The Smile Calibration Problem Solved 2011Accelerating the Calibration of Stochastic Volatility Models 2015Calibrating and Pricing with a Stochastic-Local Volatility Model

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2021Calibration of local‐stochastic volatility models by optimal transport

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Year2019

Typearticle

Published2019-02-21

VenueComputers & Mathematics with Applications

ISSN-L0898-1221

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.camwa.2019.01.029

openalex_workW2767971619

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