Multilevel Monte Carlo using approximate distributions of the CIR process

DOI10.1007/S10543-023-00980-0MaRDI QIDQ6157841zbMATH OpenOpenAlexFDO

Authors Chao Zheng

Publication date 22 June 2023

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-023-00980-0

zbMATH Keywords

approximate distributionCIR processHeston modelmultilevel Monte Carlo

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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Cites work

• A closed-form formula for the conditional moments of the extended CIR process
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of biased simulation schemes for stochastic volatility models
• A theory of the term structure of interest rates
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Analysis of nested multilevel Monte Carlo using approximate normal random variables
• Chi-square simulation of the CIR process and the Heston model
• Efficient, almost exact simulation of the Heston stochastic volatility model
• First order strong approximations of scalar SDEs defined in a domain
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
• scientific article; zbMATH DE number 1330163 (Why is no real title available?)
• Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks
• Moment explosions in stochastic volatility models
• Multilevel Monte Carlo Path Simulation
• Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• On the discretization schemes for the CIR (and Bessel squared) processes
• Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
• Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model

Cited in

(4)

• Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method
• Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
• Multilevel Markov Chain Monte Carlo
• High order approximations and simulation schemes for the log-Heston process

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