Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247)
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scientific article; zbMATH DE number 7436823
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| English | Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme |
scientific article; zbMATH DE number 7436823 |
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (English)
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1 December 2021
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computational finance
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term-structure model
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short rate model
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stochastic volatility model
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higher-order discretization method
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KLNV-scheme
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quasi-Monte Carlo method
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0.8130888342857361
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0.790692925453186
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0.7880458831787109
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0.7444519996643066
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0.740311861038208
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