A Highly Efficient Numerical Method for the SABR Modeln

  1. Leitao, Alvaro
  2. Grzelak, Lech A.
  3. Oosterlee, Cornelis W.
Book Series:
NOVEL METHODS IN COMPUTATIONAL FINANCE
  1. Ehrhardt, M (coord.)
  2. Gunther, M (coord.)
  3. TerMaten, EJW (coord.)

ISSN: 1612-3956

ISBN: 978-3-319-61282-9,  978-3-319-61281-2

Year of publication: 2017

Volume: 25

Pages: 253-263

Type: Book chapter

DOI: 10.1007/978-3-319-61282-9_14 GOOGLE SCHOLAR
Data source: WoS