Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
| Year of publication: |
2021
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| Authors: | Cui, Zhenyu ; Kirkby, J. Lars ; Nguyen, Duy |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 290.2021, 3 (1.5.), p. 1046-1062
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| Subject: | Finance | Markov chain | SABR | Simulation | Stochastic differential equation | Stochastic local volatility | Markov-Kette | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.09.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012495249