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~isPartOf:"International journal of theoretical and applied finance"
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International journal of theoretical and applied finance
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A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin
;
Oosterlee, Cornelis W.
;
Weide, Hans van der
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
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Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model
Chen, Bin
;
Oosterlee, Cornelis W.
;
Weeren, Sacha van
- In:
International journal of theoretical and applied finance
13
(
2010
)
7
,
pp. 1019-1046
Persistent link: https://www.econbiz.de/10008906224
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