Convergence of the Euler–Maruyama particle scheme for a regularised McKean–Vlasov equation arising from the calibration of local-stochastic volatility models
In this paper, we study the Euler–Maruyama scheme for a particle method to approximate the McKean–Vlasov dynamics of calibrated local-stochastic volatility (LSV) models. Given the open question of well-posedness of the original problem, we work with regularised coefficients and prove that under cert...
| Main Authors: | , |
|---|---|
| Format: | Conference item |
| Language: | English |
| Published: |
Springer
2024
|