On an efficient multiple time step Monte Carlo simulation of the SABR model (Q4555160): Difference between revisions

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+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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+Exact Simulation of the SABR Model
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+A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach
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+Q4004325
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+On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
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+Approximations to the non-central chi-square distribution
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+Q3281461
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+EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
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+Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
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