{"id":"https://openalex.org/W4237150536","doi":"https://doi.org/10.1109/wsc.2011.6148078","title":"Sensitivity estimation of SABR model via derivative of random variables","display_name":"Sensitivity estimation of SABR model via derivative of random variables","publication_year":2011,"publication_date":"2011-12-01","ids":{"openalex":"https://openalex.org/W4237150536","doi":"https://doi.org/10.1109/wsc.2011.6148078"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2011.6148078","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2011.6148078","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2011 Winter Simulation Conference (WSC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100442866","display_name":"Nan Chen","orcid":"https://orcid.org/0000-0003-2495-5234"},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"CN","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Nan Chen","raw_affiliation_strings":["Chinese University of Hong Kong, Sha Tin, New Territories, Hong Kong, China"],"affiliations":[{"raw_affiliation_string":"Chinese University of Hong Kong, Sha Tin, New Territories, Hong Kong, China","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5089978845","display_name":"Yanchu Liu","orcid":null},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"CN","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yanchu Liu","raw_affiliation_strings":["Chinese University of Hong Kong, Sha Tin, New Territories, Hong Kong, China"],"affiliations":[{"raw_affiliation_string":"Chinese University of Hong Kong, Sha Tin, New Territories, Hong Kong, China","institution_ids":["https://openalex.org/I177725633"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5100442866"],"corresponding_institution_ids":["https://openalex.org/I177725633"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.50602232,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"35","issue":null,"first_page":"3866","last_page":"3876"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9749000072479248,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.9290871620178223},{"id":"https://openalex.org/keywords/sensitivity","display_name":"Sensitivity (control systems)","score":0.7547427415847778},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5639589428901672},{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.5540609359741211},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.4348278045654297},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.2906641960144043},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.28655025362968445},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.12493976950645447},{"id":"https://openalex.org/keywords/electronic-engineering","display_name":"Electronic engineering","score":0.08345592021942139},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.07611402869224548},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.048358410596847534}],"concepts":[{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.9290871620178223},{"id":"https://openalex.org/C21200559","wikidata":"https://www.wikidata.org/wiki/Q7451068","display_name":"Sensitivity (control systems)","level":2,"score":0.7547427415847778},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5639589428901672},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.5540609359741211},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.4348278045654297},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2906641960144043},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.28655025362968445},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.12493976950645447},{"id":"https://openalex.org/C24326235","wikidata":"https://www.wikidata.org/wiki/Q126095","display_name":"Electronic engineering","level":1,"score":0.08345592021942139},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.07611402869224548},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.048358410596847534},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C201995342","wikidata":"https://www.wikidata.org/wiki/Q682496","display_name":"Systems engineering","level":1,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/wsc.2011.6148078","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2011.6148078","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2011 Winter Simulation Conference (WSC)","raw_type":"proceedings-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.416.5345","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.416.5345","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.informs-sim.org/wsc11papers/344.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.46000000834465027}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1512493793","https://openalex.org/W1531010729","https://openalex.org/W1602773783","https://openalex.org/W2021630281","https://openalex.org/W2079491906","https://openalex.org/W2103594874","https://openalex.org/W2106198262","https://openalex.org/W2113562192","https://openalex.org/W2126342974","https://openalex.org/W2146840878","https://openalex.org/W2171760176","https://openalex.org/W2186244866","https://openalex.org/W3123321876","https://openalex.org/W4239942844","https://openalex.org/W4292027175","https://openalex.org/W6685088470","https://openalex.org/W6686516022","https://openalex.org/W6780278385"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2748952813","https://openalex.org/W2549182546","https://openalex.org/W4283714926","https://openalex.org/W2171123343","https://openalex.org/W2802937241","https://openalex.org/W2767930639","https://openalex.org/W4388906216","https://openalex.org/W4307152771","https://openalex.org/W2048374766"],"abstract_inverted_index":{"We":[0],"derive":[1],"Monte":[2],"Carlo":[3],"simulation":[4,23],"estimators":[5,55,105],"to":[6,20,44,47,52,56],"compute":[7],"option":[8],"price":[9,58,77],"sensitivities":[10,59],"under":[11,60],"the":[12,21,35,49,57,66,70,72,75,91,107],"SABR":[13],"stochastic":[14,87],"volatility":[15],"model.":[16],"As":[17],"a":[18,42],"companion":[19],"exact":[22],"method":[24,51],"developed":[25],"by":[26,69],"Cai,":[27],"Chen":[28],"and":[29,102],"Song":[30],"(2011),":[31],"this":[32],"paper":[33],"uses":[34],"sensitivity":[36],"of":[37,39,74,93,95],"\u201cvol":[38],"vol\u201d":[40],"as":[41,81],"showcase":[43],"demonstrate":[45],"how":[46],"use":[48],"pathwise":[50],"obtain":[53,100],"unbiased":[54,104],"SABR.":[61],"By":[62],"appropriately":[63],"conditioning":[64],"on":[65],"path":[67],"generated":[68],"volatility,":[71],"evolution":[73],"forward":[76],"can":[78,99],"be":[79],"represented":[80],"noncentral":[82],"chi-square":[83],"random":[84,96],"variables":[85],"with":[86,90],"parameters.":[88],"Combined":[89],"technique":[92],"derivative":[94],"variables,":[97],"we":[98],"fast":[101],"accurate":[103],"for":[106],"sensitivities.":[108]},"counts_by_year":[{"year":2018,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}