A low-bias simulation scheme for the Sabr Stochastic Volatility model
Bin Chen, Cornelis W. Oosterlee and Hans Van Der Weide
| Year of publication: |
2012
|
|---|---|
| Authors: | Chen, Bin ; Oosterlee, Cornelis W. ; Weide, Hans van der |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 2, p. 1-37
|
| Subject: | Discretization scheme | SABR model | small noise expansion | Monte Carlo | square Bessel process | integrated variance | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009624504