On an efficient multiple time step Monte Carlo simulation of the SABR model

  • Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee
  • Quantitative Finance, April 2017, Taylor & Francis
  • DOI: 10.1080/14697688.2017.1301676

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http://dx.doi.org/10.1080/14697688.2017.1301676