Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925)

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English	Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations	scientific article

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scholarly article

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title

Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (English)

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author

Yanyan Li

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published in

European Journal of Operational Research

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publication date

4 June 2021

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zbMATH Keywords

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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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2020.09.008

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Identifiers

zbMATH Open document ID

1487.91163

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DOI

10.1016/j.ejor.2020.09.008

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:2029925