Monte Carlo Calibration Method of Stochastic Volatility Model with Stochastic Interest Rate
Year of publication: |
2019
|
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Authors: | Xu, Mingyang |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Zinsstruktur | Yield curve |
Extent: | 1 Online-Ressource (22 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.3406240 [DOI] |
Classification: | C02 - Mathematical Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
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