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- W2736058498 abstract "In this paper, we introduce a new technique for calibrating local volatility extensions of arbitrary multi-factor stochastic volatility models to market smiles. Although approximate, this technique is both fast and accurate. The procedure is illustrated with the Bergomi variance curve model and the $2$-factor log-normal model." @default.
- W2736058498 created "2017-07-21" @default.
- W2736058498 creator A5069915038 @default.
- W2736058498 date "2009-10-23" @default.
- W2736058498 modified "2023-09-26" @default.
- W2736058498 title "Calibration of Local Stochastic Volatility Models to Market Smiles: A Monte-Carlo Approach" @default.
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