The principle of not feeling the boundary for the SABR model. (English) Zbl 1420.91452
MSC:
91G20
Found 5 Documents (Results 1–5)
Unbiased simulation of distributions with explicitly known integral transforms. (English) Zbl 1356.65028
Cools, Ronald (ed.) et al., Monte Carlo and quasi-Monte Carlo methods. MCQMC. Proceedings of the 11th international conference on ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Leuven, Belgium, April 6–11, 2014. Cham: Springer (ISBN 978-3-319-33505-6/hbk; 978-3-319-33507-0/ebook). Springer Proceedings in Mathematics & Statistics 163, 229-244 (2016).
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