On an efficient multiple time step Monte Carlo simulation of the SABR model (Q4555160): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q592663 |
||
| Property / author | |||
| Property / author: Cornelis W. Oosterlee / rank | |||
Revision as of 23:12, 19 February 2024
scientific article; zbMATH DE number 6981274
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On an efficient multiple time step Monte Carlo simulation of the SABR model |
scientific article; zbMATH DE number 6981274 |
Statements
On an efficient multiple time step Monte Carlo simulation of the SABR model (English)
0 references
19 November 2018
0 references
SABR model
0 references
exact simulation
0 references
Monte Carlo methods
0 references
copulas
0 references
stochastic collocation
0 references
Fourier techniques
0 references
exotic options
0 references
