Abstract
The aim of this article is to provide an efficient procedure of calibration of the local volatility surface in presence of a d-dimensional stochastic rate process. The classical approach is to evaluate the correction to be applied on the local volatility obtained in a deterministic rates framework by solving the (d 1)-dimensional forward Kolomogorov PDE and integrate the Green function against a chosen function at each step time of the solver, which is a lot of effort for such small correction.
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