Semi-closed form cubature and applications to financial diffusion models
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Publication:5397417
DOI10.1080/14697688.2012.752102zbMath1281.91180arXiv1009.4818OpenAlexW2000698170MaRDI QIDQ5397417
Peter K. Friz, Christian Bayer, Ronnie Loeffen
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.4818
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical integration (65D30)
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Cites Work
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- A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
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- Multidimensional Stochastic Processes as Rough Paths
- High order discretization schemes for the CIR process: Application to affine term structure and Heston models
- A comparison of biased simulation schemes for stochastic volatility models
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