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"An adjoint method for the exact calibration of stochastic local volatility ..."

Maarten Wyns, Karel J. in 't Hout (2018)

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DOI: 10.1016/J.JOCS.2017.02.004

access: closed

type: Journal Article

metadata version: 2020-02-25

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Maarten Wyns, Karel J. in 't Hout:
An adjoint method for the exact calibration of stochastic local volatility models. J. Comput. Sci. 24: 182-194 (2018)

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