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2018-02-20T03:21:21-08:00
2018-01-11T08:13:41+05:30
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The COS method for option valuation under the SABR dynamics
Z. van der Have; C. W. Oosterlee
International Journal of Computer Mathematics, 2018. doi: 10.1080/00207160.2017.1290438
iText 4.2.0 by 1T3XT
COS method; Eulerndash;Maruyama scheme; backward stochastic differential equation; SABR; Richardson extrapolation
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10.1080/00207160.2017.1290438https://doi.org/10.1080/00207160.2017.12904382017-02-28truewww.tandfonline.com10.1080/00207160.2017.1290438www.tandfonline.comtrue2017-02-2810.1080/00207160.2017.1290438
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