Nan Chen, Yanchu Liu. Sensitivity estimation of SABR model via derivative of random variables. In S. Jain, Roy R. Creasey Jr., Jan Himmelspach, K. Preston White, Michael C. Fu, editors, Winter Simulation Conference 2011, WSC'11, Phoenix, AZ, USA, December 11-14, 2011. pages 3871-3881, WSC, 2011. [doi]
Abstract is missing.