Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925)
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scientific article; zbMATH DE number 7355314
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| English | Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations |
scientific article; zbMATH DE number 7355314 |
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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (English)
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4 June 2021
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simulation
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SABR
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stochastic local volatility
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Markov chain
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stochastic differential equation
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finance
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0.8223146796226501
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0.8196185231208801
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0.7909917235374451
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0.7898297309875488
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0.7888256907463074
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