On an efficient multiple time step Monte Carlo simulation of the SABR model

  1. Leitao, Á.
  2. Grzelak, L.A.
  3. Oosterlee, C.W.
Journal:
Quantitative Finance

ISSN: 1469-7696,  1469-7688

Year of publication: 2017

Volume: 17

Issue: 10

Pages: 1549-1565

Type: Article

DOI: 10.1080/14697688.2017.1301676 GOOGLE SCHOLAR lock_openOpen access editor
Data source: Scopus