Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations - researchr publication

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Zhenyu Cui, J. Lars Kirkby, Duy Nguyen. Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. European Journal of Operational Research, 290(3):1046-1062, 2021. [doi]

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