Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
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Publication:2029925
DOI10.1016/j.ejor.2020.09.008zbMath1487.91163OpenAlexW3085668616WikidataQ114184455 ScholiaQ114184455MaRDI QIDQ2029925
Publication date: 4 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.09.008
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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