On an efficient multiple time step Monte Carlo simulation of the SABR model (Q4555160)
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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)
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19 November 2018
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SABR model
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exact simulation
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Monte Carlo methods
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copulas
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stochastic collocation
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Fourier techniques
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exotic options
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