Campuses:

SABR

Friday, June 15, 2018 - 9:30am - 10:00am
Duy Nguyen (Marist College)
In this talk, we consider the efficient simulation of asset prices for general stochastic local
volatility models, which include the Heston stochastic volatility model and the stochastic alpha
beta rho (SABR) model as special cases. Our simulation algorithm is constructed based on a novel
application of a continuous-time Markov chain (CTMC) approximation to the latent stochastic
variance process. Compared with traditional time discretization approaches, our method exhibits
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