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"Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility ..."

Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger (2018)

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DOI: 10.1137/17M1114569

access: closed

type: Journal Article

metadata version: 2018-05-23

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  - journals/siamfm/CozmaMR18
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  - https://dblp.org/rec/journals/siamfm/CozmaMR18
Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger:
Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets. SIAM J. Financial Math. 9(1): 127-170 (2018)

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