A low-bias simulation scheme for the SABR stochastic volatility model (Q2882692)
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scientific article; zbMATH DE number 6031402
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A low-bias simulation scheme for the SABR stochastic volatility model |
scientific article; zbMATH DE number 6031402 |
Statements
7 May 2012
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discretization scheme
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SABR model
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small noise expansion
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Monte Carlo
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square Bessel process
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integrated variance
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A low-bias simulation scheme for the SABR stochastic volatility model (English)
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