Pages that link to "Item:Q2882692"
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The following pages link to A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (Q2882692):
Displaying 20 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)
- Optimal investment strategies for general utilities under dynamic elasticity of variance models (Q4554502) (← links)
- On an efficient multiple time step Monte Carlo simulation of the SABR model (Q4555160) (← links)
- A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
- Dirichlet Forms and Finite Element Methods for the SABR Model (Q4579839) (← links)
- Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (Q4619519) (← links)
- A Highly Efficient Numerical Method for the SABR Model (Q4626505) (← links)
- BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems (Q5031725) (← links)
- Least-squares Monte-Carlo methods for optimal stopping investment under CEV models (Q5139226) (← links)
- The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions (Q5234297) (← links)
- The principle of not feeling the boundary for the SABR model (Q5234301) (← links)
- Semi-closed form cubature and applications to financial diffusion models (Q5397417) (← links)
- Stochastic local volatility models and the Wei-Norman factorization method (Q6105360) (← links)
- Exact simulation of the Hull and White stochastic volatility model (Q6572645) (← links)
