Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model

DOI10.1007/S11464-018-0705-0MaRDI QIDQ1787145zbMATH OpenOpenAlexWikidataFDO

Authors Yunshi Gao, Hui Jiang, Shaochen Wang

Publication date 4 October 2018

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-018-0705-0

zbMATH Keywords

Euler-Maruyama discretizationHull-White stochastic volatility modelmoderate deviation principle

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Stochastic processes (60G99)

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Cites work

• Asymptotic behaviors for functionals of random dynamical systems
• Asymptotics for the Euler-discretized Hull-White stochastic volatility model
• Euler scheme and tempered distributions
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• Expansion of the global error for numerical schemes solving stochastic differential equations
• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• scientific article; zbMATH DE number 3876298 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
• Limit theorems for linear spectrum statistics of orthogonal polynomial ensembles and their applications in random matrix theory
• Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions
• Moderate deviations for a class of recursions
• On Asymptotic Normality in Stochastic Approximation
• On the growth rate of a linear stochastic recursion with Markovian dependence
• Option pricing in the moderate deviations regime
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• The pricing of options on assets with stochastic volatilities

Cited in

(5)

• Asymptotics for the Euler-discretized Hull-White stochastic volatility model
• The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model
• Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
• scientific article; zbMATH DE number 1383856 (Why is no real title available?)
• A comparison of biased simulation schemes for stochastic volatility models

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