A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

By Bin Chen, Cornelis W. Oosterlee, H. V. D. Weide. 2012

48 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/a0003c6098ebbcc1090cf7da84e57e6f90f26d57