The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective
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References listed on IDEAS
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Kilin, Fiodar, 2006. "Accelerating the calibration of stochastic volatility models," MPRA Paper 2975, University Library of Munich, Germany, revised 22 Apr 2007.
- Nicolas Langren'e & Geoffrey Lee & Zili Zhu, 2015. "Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model," Papers 1507.02847, arXiv.org, revised Mar 2016.
- Benjamin Jourdain & Alexandre Zhou, 2016. "Existence of a calibrated regime switching local volatility model and new fake Brownian motions," Papers 1607.00077, arXiv.org, revised Jan 2017.
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- Dmitri Goloubentcev & Evgeny Lakshtanov, 2019. "Remarks on stochastic automatic adjoint differentiation and financial models calibration," Papers 1901.04200, arXiv.org.
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