A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (Q2882692)
From MaRDI portal
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)
0 references
7 May 2012
0 references
discretization scheme
0 references
SABR model
0 references
small noise expansion
0 references
Monte Carlo
0 references
square Bessel process
0 references
integrated variance
0 references
