Towards the exact simulation using hyperbolic Brownian motion (Q1684776)
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scientific article; zbMATH DE number 6817589
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Towards the exact simulation using hyperbolic Brownian motion |
scientific article; zbMATH DE number 6817589 |
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Towards the exact simulation using hyperbolic Brownian motion (English)
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12 December 2017
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parametrix
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hyperbolic
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Brownian motion
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SABR model
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McKean's kernel
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exact simulation
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0.746795117855072
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0.7272877097129822
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0.7191354632377625
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0.7017072439193726
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0.7010695338249207
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