A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

DOI10.1142/S0219024912500161zbMath1282.91374MaRDI QIDQ2882692

Hans van der Weide, Bin Chen, Cornelis W. Oosterlee

Publication date: 7 May 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Monte Carlointegrated variancediscretization schemeSABR modelsmall noise expansionsquare Bessel process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70)

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