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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations.
Zhenyu Cui
J. Lars Kirkby
Duy Nguyen
Published in:
Eur. J. Oper. Res. (2021)
Keyphrases
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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