"On a one time-step Monte Carlo simulation approach of the SABR model: ..."

Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee (2017)

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DOI: 10.1016/J.AMC.2016.08.030

access: closed

type: Journal Article

metadata version: 2021-10-14

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Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee:
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. Appl. Math. Comput. 293: 461-479 (2017)

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