A Highly Efficient Numerical Method for the SABR Model

DOI10.1007/978-3-319-61282-9_14zbMath1420.91517OpenAlexW2755467999MaRDI QIDQ4626505

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

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/27036

zbMATH Keywords

European optionsSABR modelcopula approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
• Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• On an efficient multiple time step Monte Carlo simulation of the SABR model

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