CHEN, BIN; OOSTERLEE, CORNELIS W.; WEIDE, HANS VAN DER - In: International Journal of Theoretical and Applied … 15 (2012) 02, pp. 1250016-1
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...
