On a one time-step Monte Carlo simulation approach of the SABR model: application to European options (Q1737183)
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scientific article; zbMATH DE number 7042752
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| English | On a one time-step Monte Carlo simulation approach of the SABR model: application to European options |
scientific article; zbMATH DE number 7042752 |
Statements
On a one time-step Monte Carlo simulation approach of the SABR model: application to European options (English)
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27 March 2019
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computational finance
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stochastic-local volatility models
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SABR model
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copulas
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0.9247103929519652
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0.8866668939590454
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0.8274512887001038
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0.8001638650894165
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0.7965584993362427
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