Kurbanmuradov, O. (contributor); Sabelfeld, K. (contributor) - 1999 - [Elektronische Ressource]
(1997) and Schoenmakers, Coffey (1999). Special attention is payed to log-normal approximations and their simulation by … using direct simulation methods for log-normal random fields. In contrast to the conventional numerical solution of SDE … path-wise comparison of the approximations and give applications to the valuation of the swaption and the trigger swap. …
