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学术科研

Graduate Student Colloquium

Comparison of Numerical Simulation Methods of SABR Model

演讲者：黄海洋
时间：2021-03-14 17:00-18:00
地点：腾讯会议ID 480-445-354

Abstract:

We focus on the numerical experiments with a large number of simulation sample paths and multiple sets of simulation parameters in the case of β < 1 and ρ = 0 of SABR Model. And we compare all of methods from the perspectives of the accuracy, convergence, and simulation time. For the simulation methods, we used Euler's method, exact simulation method, and the modified unbiased simulation method based on the exact simulation.