RKHS regularization of singular local stochastic volatility McKean--Vlasov models
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2921 | |
dc.contributor.author | Bayer, Christian | |
dc.contributor.author | Belomestny, Denis | |
dc.contributor.author | Butkovsky, Oleg | |
dc.contributor.author | Schoenmakers, John G. M. | |
dc.date.accessioned | 2022-07-08T13:04:38Z | |
dc.date.available | 2022-07-08T13:04:38Z | |
dc.date.issued | 2022 | |
dc.description.abstract | Motivated by the challenges related to the calibration of financial models, we consider the problem of solving numerically a singular McKean-Vlasov equation, which represents a singular local stochastic volatility model. Whilst such models are quite popular among practitioners, unfortunately, its well-posedness has not been fully understood yet and, in general, is possibly not guaranteed at all. We develop a novel regularization approach based on the reproducing kernel Hilbert space (RKHS) technique and show that the regularized model is well-posed. Furthermore, we prove propagation of chaos. We demonstrate numerically that a thus regularized model is able to perfectly replicate option prices due to typical local volatility models. Our results are also applicable to more general McKean--Vlasov equations. | eng |
dc.description.version | publishedVersion | eng |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9679 | |
dc.identifier.uri | https://doi.org/10.34657/8717 | |
dc.language.iso | eng | |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.doi | https://doi.org/10.20347/WIAS.PREPRINT.2921 | |
dc.relation.issn | 2198-5855 | |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | |
dc.subject.other | Stochastic volatility models | eng |
dc.subject.other | singular McKean--Vlasov equations | eng |
dc.subject.other | reproducing kernel Hilbert spaces | eng |
dc.title | RKHS regularization of singular local stochastic volatility McKean--Vlasov models | eng |
dc.type | Report | eng |
dc.type | Text | eng |
dcterms.extent | 25 S. | |
tib.accessRights | openAccess | |
wgl.contributor | WIAS | |
wgl.subject | Mathematik | |
wgl.type | Report / Forschungsbericht / Arbeitspapier |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- wias_preprints_2921.pdf
- Size:
- 433.25 KB
- Format:
- Adobe Portable Document Format
- Description: