Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
Crossref DOI link: https://doi.org/10.1007/s10203-019-00232-3
Published Online: 2019-01-24
Published Print: 2019-12
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Hok, Julien http://orcid.org/0000-0001-9486-6320
Tan, Shih-Hau
Text and Data Mining valid from 2019-01-24
Article History
Received: 10 July 2018
Accepted: 11 January 2019
First Online: 24 January 2019