Efficient Multiple Time-Step Simulation of the SABR Model
Crossref DOI link: https://doi.org/10.1007/978-3-319-63082-3_21
Published Online: 2018-03-21
Published Print: 2017
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Leitao, Álvaro
Grzelak, Lech A.
Oosterlee, Cornelis W.
License valid from 2017-01-01