On a One Time-Step SABR Simulation Approach : Application to European Options
Year of publication: |
2018
|
---|---|
Authors: | Leitao Rodriguez, Alvaro |
Other Persons: | Grzelak, Lech A. (contributor) ; Oosterlee, Cornelis W. (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Simulation | Optionspreistheorie | Option pricing theory | EU-Staaten | EU countries | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
Extent: | 1 Online-Ressource (25 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Applied Mathematics and Computation 293: 461-479, 2017 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 10, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2731537 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Essentials of stochastic finance : facts, models, theory
Širjaev, Alʹbert N., (1999)
-
European Option Under Cox-Ingersoll-Ross Model for Stochastic Interest Rate
Subramaniam, Shankar, (2013)
-
Wan, Xiangwei, (2021)
- More ...
-
On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model
Leitao Rodriguez, Alvaro, (2018)
-
GPU Acceleration of the Stochastic Grid Bundling Method for Early-Exercise Options
Leitao Rodriguez, Alvaro, (2018)
-
Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options
Jain, Shashi, (2018)
- More ...