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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

Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives

Chen, Bin; Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 79-113

Persistent link: https://www.econbiz.de/10009575387

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

Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives

Chen, Bin - 2014

We model the joint dynamics of stock and interest rate by a hybrid SABR-Hull-White model, in which the asset price dynamics are modeled by the SABR model and the interest rate dynamics by the Hull-White short-rate model. We propose a projection formula, mapping the SABR-HW model parameters onto...

Persistent link: https://www.econbiz.de/10013068513