lionel75013/sabrMC lionel75013/sabrMC

  • Stars
    star
    8
  • Rank 2,057,827 (Top 42 %)
  • Language
    Python
  • Created over 6 years ago
  • Updated over 5 years ago
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lionel75013/sabrMC
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lionel75013

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Repository Details

Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide