A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (Q2882692): Difference between revisions
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Revision as of 23:11, 19 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL |
scientific article |
Statements
A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (English)
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7 May 2012
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discretization scheme
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SABR model
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small noise expansion
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Monte Carlo
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square Bessel process
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integrated variance
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