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]
@article{CuiKN21a,
title = {Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations},
author = {Zhenyu Cui and J. Lars Kirkby and Duy Nguyen},
year = {2021},
doi = {10.1016/j.ejor.2020.09.008},
url = {https://doi.org/10.1016/j.ejor.2020.09.008},
researchr = {https://researchr.org/publication/CuiKN21a},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {290},
number = {3},
pages = {1046-1062},
}