Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations
Year of publication: |
2020
|
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Authors: | Cui, Zhenyu |
Other Persons: | Kirkby, Justin (contributor) ; Nguyen, Duy (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Simulation | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (49 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 12, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3691568 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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