Efficient and accurate simulation of the stochastic-alpha-beta-rho model

Fuente: arXiv

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Bibliographic Details
Main Authors:	Choi, Jaehyuk, Hu, Lilian, Kwok, Yue Kuen
Format:	Preprint
Published:	2024
Subjects:	Computational Finance Mathematical Finance 65C05, 91G20, 91G30, 91G60
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2408.01898