Sensitivity estimation of SABR model via derivative of random variables.
| Autor: | Chen, Nan, Liu, Yanchu |
|---|---|
| Zdroj: | Proceedings of the Winter Simulation Conference (2011); 12/11/2011, p3871-3881, 11p |
| Databáze: | Complementary Index |
| Externí odkaz: |
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| Autor: | Chen, Nan, Liu, Yanchu |
|---|---|
| Zdroj: | Proceedings of the Winter Simulation Conference (2011); 12/11/2011, p3871-3881, 11p |
| Databáze: | Complementary Index |
| Externí odkaz: |
|