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On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.
Álvaro Leitao
Lech A. Grzelak
Cornelis W. Oosterlee
Published in:
Appl. Math. Comput. (2017)
Keyphrases
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monte carlo simulation
prior knowledge
probabilistic model
high level
computational model
monte carlo
simulation model
cost function
markov chain
theoretical framework
input data
mathematical model
statistical model
experimental data