Exact simulation of the SABR model
Ning Cai, Yingda Song, Nan Chen
| Year of publication: |
July-August 2017
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|---|---|
| Authors: | Cai, Ning ; Song, Yingda ; Chen, Nan |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 65.2017, 4, p. 931-951
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| Subject: | exact simulation | SABR model | semi-exact simulation | piecewise semi-exact simulation | time change | Asian options | noncentral chi-squared distributions | Hartman-Watson distributions | Simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2017.1617 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011739058