Exact Simulation of the SABR Model (Q5360836)

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scientific article; zbMATH DE number 6780533
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English
Exact Simulation of the SABR Model
scientific article; zbMATH DE number 6780533

    Statements

    title
    Exact Simulation of the SABR Model (English)
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    author
    Ning Cai
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    Yingda Song
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    Nan Chen
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    publication date
    26 September 2017
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    zbMATH Keywords
    exact simulation
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    SABR model
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    semi-exact simulation
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    piecewise semi-exact simulation
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    time change
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    Asian options
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    noncentral chi-squared distributions
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    Hartman-Watson distributions
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    44A10
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    62P05
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    62E10
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    zbMATH DE Number
    6780533
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    OpenAlex ID
    W2734051810
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