On a one time-step Monte Carlo simulation approach of the SABR model: application to European options

DOI10.1016/j.amc.2016.08.030zbMath1411.91625OpenAlexW2510306499MaRDI QIDQ1737183

Lech A. Grzelak, Álvaro Leitao, Cornelis W. Oosterlee

Publication date: 27 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/24774

zbMATH Keywords

copulascomputational financeSABR modelstochastic-local volatility models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (9)

On an efficient multiple time step Monte Carlo simulation of the SABR model ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ On the data-driven COS method ⋮ Stochastic local volatility models and the Wei-Norman factorization method ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ A Highly Efficient Numerical Method for the SABR Model ⋮ FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES ⋮ Application of power series approximation techniques to valuation of European style options

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