Pages that link to "Item:Q2882692"

The following pages link to A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (Q2882692):

Displaying 8 items.

• On a one time-step Monte Carlo simulation approach of the SABR model: application to European options (Q1737183) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs (Q2227432) (← links)
• A path-independent approach to integrated variance under the CEV model (Q2228592) (← links)
• The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model (Q2246618) (← links)
• On the data-driven COS method (Q2422825) (← links)
• FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES (Q2986668) (← links)
• Stochastic local volatility models and the Wei-Norman factorization method (Q6105360) (← links)