A General Valuation Framework for SABR and Stochastic Local Volatility Models
Author:
Funder
Marist College
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/16M1106572
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1. The Fourier-series method for inverting transforms of probability distributions
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