A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC...

International Journal of Theoretical and Applied Finance 2012 / 03 Vol. 15; Iss. 2

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

CHEN, BIN, OOSTERLEE, CORNELIS W., VAN DER WEIDE, HANS
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Volume:
15
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024912500161
Date:
March, 2012
File:
PDF, 470 KB
english, 2012
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