Convergence of the Euler--Maruyama particle scheme for a regularised
McKean--Vlasov equation arising from the calibration of local-stochastic
volatility models
Reisinger, C
Tsianni, M
(01 Feb 2023)
http://arxiv.org/abs/2302.00434v2
McKean--Vlasov equation arising from the calibration of local-stochastic
volatility models