"Efficient simulation of generalized SABR and stochastic local volatility ..."

Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen (2021)

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DOI: 10.1016/J.EJOR.2020.09.008

access: closed

type: Journal Article

metadata version: 2023-09-28

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Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen:
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. Eur. J. Oper. Res. 290(3): 1046-1062 (2021)

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