Exact Simulation of the SABR Model (Q5360836)
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scientific article; zbMATH DE number 6780533
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact Simulation of the SABR Model |
scientific article; zbMATH DE number 6780533 |
Statements
Exact Simulation of the SABR Model (English)
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26 September 2017
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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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