Exact simulation of the SABR model (Q5360836)
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scientific article; zbMATH DE number 6780533
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Exact simulation of the SABR model |
scientific article; zbMATH DE number 6780533 |
Statements
Exact Simulation of the SABR Model (English)
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26 September 2017
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exact simulation
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SABR model
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semi-exact simulation
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piecewise semi-exact simulation
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time change
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Asian options
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noncentral chi-squared distributions
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Hartman-Watson distributions
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0.8429475426673889
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0.8361986875534058
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0.8274512887001038
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0.8223146796226501
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0.8166699409484863
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