Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility.

Orcan Ögetbil Bernhard Hientzsch

Published in: SIAM J. Financial Math. (2023)

Keyphrases

monte carlo
stochastic optimization
stochastic models
efficient implementation
stochastic process
learning automata
data sets
social networks
probability distribution
markov chain
stochastic model
stochastic approximation