Efficient second-order weak scheme for stochastic volatility models

DOI10.1007/978-3-0348-0545-2_20MaRDI QIDQ5746534zbMATH OpenOpenAlexFDO

Authors Benjamin Jourdain, Mohamed Sbai

Publication date 19 February 2014

Published in Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0545-2_20

zbMATH Keywords

discretization schemesLamperti transformstochastic volatility modelsweak convergence

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(10)

• Asymptotics for the Euler-discretized Hull-White stochastic volatility model
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
• Fast strong approximation Monte Carlo schemes for stochastic volatility models
• scientific article; zbMATH DE number 6305527 (Why is no real title available?)
• VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
• Efficient second-order weak scheme for stochastic volatility models
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model
• A second-order weak approximation of Heston model by discrete random variables

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