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

B Chen, CW Oosterlee, JAM van der Weide

Research output: Contribution to journalArticleScientificpeer-review

20 Citations (Scopus)
Original languageEnglish
Pages (from-to)1250016-1-1250016-37
JournalInternational Journal of Theoretical and Applied Finance
Volume15
Issue number2
DOIs
Publication statusPublished - 2012

Cite this