Weak approximation of Heston model by discrete random variables

DOI10.1016/J.MATCOM.2015.02.003MaRDI QIDQ2228636zbMATH OpenOpenAlexFDO

Authors Antanas Lenkšas, Vigirdas Mackevičius

Publication date 19 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2015.02.003

zbMATH Keywords

option pricingHeston modelweak approximationssplit-step approximationsCIR

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Mathematical economics (91Bxx) Probabilistic methods, stochastic differential equations (65Cxx)

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Cites work

• 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
• Convergence of numerical methods for stochastic differential equations in mathematical finance
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Moment explosions in stochastic volatility models
• On the discretization schemes for the CIR (and Bessel squared) processes
• On weak approximations of CIR equation with high volatility
• On weak approximations of \((a, b)\)-invariant diffusions
• Statistical tools for finance and insurance.
• Valuing options in Heston's stochastic volatility model: another analytical approach
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• Weak approximation of CIR equation by discrete random variables

Cited in

(4)

• A second-order weak approximation of Heston model by discrete random variables
• Backward simulation methods for pricing American options under the CIR process
• A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
• Parameter estimation for the subcritical Heston model based on discrete time observations

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