The COS method for option valuation under the SABR dynamics (Q4641563)
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scientific article; zbMATH DE number 6869798
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The COS method for option valuation under the SABR dynamics |
scientific article; zbMATH DE number 6869798 |
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The COS method for option valuation under the SABR dynamics (English)
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17 May 2018
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COS method
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Euler-Maruyama scheme
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backward stochastic differential equation
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SABR
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Richardson extrapolation
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