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

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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