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Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations 基于马尔可夫链近似的广义SABR和随机局部波动模型的有效模拟

Stevens: Operations & Decision Sciences (Topic) Pub Date : 2020-09-12 DOI: 10.2139/ssrn.3691568

Zhenyu Cui, J. Kirkby, D. Nguyen

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引用次数: 28