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Á. Leitao Rodriguez (Álvaro), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)

2017

A highly efficient numerical method for the SABR model

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Leitao Rodriguez, Á, Grzelak, L.A, & Oosterlee, C.W. (2017). A highly efficient numerical method for the SABR model. In Novel Methods in Computational Finance (pp. 253–264).
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