On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options

Research output: Contribution to journal › Article › Academic › peer-review

Original language	Undefined/Unknown
Journal	Applied Mathematics and Computation
DOIs	https://doi.org/10.1016/j.amc.2016.08.030
Publication status	Published - 2017
Externally published	Yes

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title = "On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options",

author = "{\'A}. Leitao and L.A. Grzelak and C.W. Oosterlee",

year = "2017",

doi = "10.1016/j.amc.2016.08.030",

language = "Undefined/Unknown",

journal = "Applied Mathematics and Computation",

issn = "0096-3003",

publisher = "Elsevier Inc.",

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TY - JOUR

T1 - On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options

AU - Leitao, Á.

AU - Grzelak, L.A.

AU - Oosterlee, C.W.

PY - 2017

Y1 - 2017

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U2 - 10.1016/j.amc.2016.08.030

DO - 10.1016/j.amc.2016.08.030

M3 - Article

SN - 0096-3003

JO - Applied Mathematics and Computation

JF - Applied Mathematics and Computation

ER -