Research-Comparison of Numerical Simulation Methods of SABR Model

Research

Graduate Student Colloquium

Comparison of Numerical Simulation Methods of SABR Model

Speaker: Haiyang Huang
Time: Mar 14, 2021, 17:00-18:00
Location: Tencent Meeting 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.