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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]
Possibly Related PublicationsThe following publications are possibly variants of this publication: A General Valuation Framework for SABR and Stochastic Local Volatility ModelsZhenyu Cui, J. Lars Kirkby, Duy Nguyen. siamfm, 9(2):520-563, 2018. [doi] Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and GreeksJingtang Ma, Wensheng Yang, Zhenyu Cui. jcam, 404:113901, 2022. [doi]
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