The Stochastic Alpha Beta Rho Stochastic Volatility (SABR-SV) model is widely used in the financial industry for the pricing of fixed income instruments. In this paper we develop a low-bias simulation scheme for the SABR-SV model, which deals efficiently with (undesired) possible negative values...

We introduce a new class of lattice models based on a continuous time Markov chain approximation scheme for affine processes, whereby the approximating process itself is affine. A key property of this class of lattice models is that the location of the time nodes can be chosen in a payoff...