Exact simulation of the SABR model
From MaRDI portal
Recommendations
- A highly efficient numerical method for the SABR model
- A low-bias simulation scheme for the SABR stochastic volatility model
- On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- On an efficient multiple time step Monte Carlo simulation of the SABR model
Cited in
(39)- A general framework for time-changed Markov processes and applications
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
- Small-\(t\) expansion for the Hartman-Watson distribution
- A rough SABR formula
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- On the distribution of the time-integral of the geometric Brownian motion
- The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
- Fourier based methods for the management of complex life insurance products
- A low-bias simulation scheme for the SABR stochastic volatility model
- Exact simulation of the 3/2 model
- On an efficient multiple time step Monte Carlo simulation of the SABR model
- A general valuation framework for SABR and stochastic local volatility models
- A highly efficient numerical method for the SABR model
- A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
- Localized radial basis functions for no-arbitrage pricing of options under stochastic alpha-beta-rho dynamics
- Efficient simulation of Lévy-driven point processes
- The principle of not feeling the boundary for the SABR model
- Simulation of implied volatility surfaces via tangent Lévy models
- A transform-based method for pricing Asian options under general two-dimensional models
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
- Implied value-at-risk and model-free simulation
- Exact simulation of the Hull and White stochastic volatility model
- Efficient and accurate simulation of the stochastic-alpha-beta-rho model
- Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
- Nested-conditional factorization approach to Asian options pricing
- VIX options in the SABR model
- Fifty years at the interface between financial modeling and operations research
- Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
- On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
- Conditional distribution of the time-average of a geometric Brownian motion and option pricing in the SABR model
This page was built for publication: Exact simulation of the SABR model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5360836)