Exact Simulation of the SABR Model

DOI10.1287/opre.2017.1617zbMath1405.91598OpenAlexW2734051810MaRDI QIDQ5360836

Ning Cai, Yingda Song, Nan Chen

Publication date: 26 September 2017

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5463942f935282188f78ce1b37befca98eb3afca

zbMATH Keywords

Asian optionstime changeexact simulationSABR modelHartman-Watson distributionsnoncentral chi-squared distributionspiecewise semi-exact simulationsemi-exact simulation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (21)

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