Maarten Wyns, Karel J. in 't Hout. An adjoint method for the exact calibration of stochastic local volatility models. J. Comput. Science, 24:182-194, 2018. [doi]
@article{WynsH18,
title = {An adjoint method for the exact calibration of stochastic local volatility models},
author = {Maarten Wyns and Karel J. in 't Hout},
year = {2018},
doi = {10.1016/j.jocs.2017.02.004},
url = {https://doi.org/10.1016/j.jocs.2017.02.004},
researchr = {https://researchr.org/publication/WynsH18},
cites = {0},
citedby = {0},
journal = {J. Comput. Science},
volume = {24},
pages = {182-194},
}