A low-bias simulation scheme for the SABR stochastic volatility model
Journal Article
(2012)
Author(s)
B. Chen (TU Delft - Numerical Analysis)
C.W. Oosterlee (TU Delft - Numerical Analysis)
JAM van der Weide (TU Delft - Applied Probability)
Research Group
Numerical Analysis
DOI related publication
https://doi.org/10.1142/S0219024912500161
To reference this document use:
https://resolver.tudelft.nl/uuid:6ea9b7d7-597c-4a56-98a6-52b4220c7fcb
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Publication Year
2012
Language
English
Research Group
Numerical Analysis
Issue number
2
Volume number
15
Pages (from-to)
1250016-1-1250016-37
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