Results 71 to 80 of about 1,031 (117)

A General Valuation Framework for SABR and Stochastic Local Volatility Models

, 2018
Zhenyu Cui, Justin Kirkby, Duy Nguyen
openalex   +3 more sources

Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs

, 2013
José Luís Fernández, A. Ferreiro, Jose Garcia-Rodriguez, Álvaro Leitao, José Germán López-Salas, Carlos Vázquez   +5 more
openalex   +2 more sources

Analytical Solutions of the SABR Stochastic Volatility Model

, 2012
Qi Wu
openalex   +1 more source

SABR: A Stochastic Volatility Model in Practice

, 2019
Natalia Bogatyreva, Rodrigo Grandez, Sergio Rodríguez Apolinar, Abraham Soldevilla   +3 more
openalex   +2 more sources

A Volatility-of-Volatility Expansion of the Option Prices in the SABR Stochastic Volatility Model

, 2014
Olesya V. Grishchenko, Xiao Han, Victor Nistor   +2 more
openalex   +1 more source

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

, 2020
Zhenyu Cui, Justin Kirkby, Duy Nguyen
openalex   +2 more sources

Machine Learning SABR Model of Stochastic Volatility With Lookup Table

, 2020
Mahir Lokvancic
openalex   +1 more source

The SABR Model : Calibrated for Swaption's Volatility Smile

, 2014
Nguyen H. Tran, Anton Weigardh
openalex   +1 more source

Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs

, 2016
A. Ferreiro, J. A. García, José Germán López-Salas, Carlos Vázquez   +3 more
openalex   +2 more sources

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

, 2012
Bin Chen, Cornelis W. Oosterlee, Hans van der Weide   +2 more
openalex   +2 more sources