A low-bias simulation scheme for the SABR stochastic volatility model

B Chen, CW Oosterlee, JAM van der Weide

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	English
Pages (from-to)	1250016-1-1250016-37
Journal	International Journal of Theoretical and Applied Finance
Volume	15
Issue number	2
DOIs	https://doi.org/10.1142/S0219024912500161
Publication status	Published - 2012

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title = "A low-bias simulation scheme for the SABR stochastic volatility model",

author = "B Chen and CW Oosterlee and {van der Weide}, JAM",

year = "2012",

doi = "10.1142/S0219024912500161",

language = "English",

volume = "15",

pages = "1250016--1--1250016--37",

journal = "International Journal of Theoretical and Applied Finance",

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publisher = "World Scientific Publishing",

number = "2",

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T1 - A low-bias simulation scheme for the SABR stochastic volatility model

AU - Chen, B

AU - Oosterlee, CW

AU - van der Weide, JAM

PY - 2012

Y1 - 2012

U2 - 10.1142/S0219024912500161

DO - 10.1142/S0219024912500161

M3 - Article

SN - 0219-0249

VL - 15

SP - 1250016-1-1250016-37

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

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ER -