Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations.
Zhenyu CuiJ. Lars KirkbyDuy NguyenPublished in: Eur. J. Oper. Res. (2021)
Keyphrases
- markov chain
- monte carlo simulation
- stochastic process
- monte carlo
- transition probabilities
- monte carlo method
- steady state
- transition matrix
- markov processes
- finite state
- markov process
- markov model
- gibbs sampler
- state space
- mathematical models
- markov chain monte carlo
- stationary distribution
- random walk
- markov models
- state transition
- stochastic model
- prior knowledge
- random fields
- parameter estimation
- probabilistic model
- neural network
- least squares