Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee. On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. Applied Mathematics and Computation, 293:461-479, 2017. [doi]
@article{LeitaoGO17,
title = {On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options},
author = {Álvaro Leitao and Lech A. Grzelak and Cornelis W. Oosterlee},
year = {2017},
doi = {10.1016/j.amc.2016.08.030},
url = {http://dx.doi.org/10.1016/j.amc.2016.08.030},
researchr = {https://researchr.org/publication/LeitaoGO17},
cites = {0},
citedby = {0},
journal = {Applied Mathematics and Computation},
volume = {293},
pages = {461-479},
}