A weak approximation with Malliavin weights for local stochastic volatility model
Year of publication: |
March 2017
|
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Authors: | Yamada, Toshihiro |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 1, p. 1-17
|
Subject: | Local stochastic volatility model | weak approximation | Malliavin calculus | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
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