Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
type: Item
instance of: scholarly article
title: Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
zbMATH Open document ID: 1487.91163
author: Yanyan Li
published in: European Journal of Operational Research
publication date: 2021-06-04T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7355314
zbMATH Keywords: simulation
zbMATH Keywords: SABR
zbMATH Keywords: stochastic local volatility
zbMATH Keywords: Markov chain
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: finance
MaRDI profile type: Publication
full work available at URL: j.ejor.2020.09.008
OpenAlex ID: W3085668616
Wikidata QID: Q114184455
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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (DOI)
DOI: 10.1016/J.EJOR.2020.09.008