Weak approximation of Heston model by discrete random variables
From MaRDI portal
Publication:2228636
DOI10.1016/J.MATCOM.2015.02.003OpenAlexW2134319121MaRDI QIDQ2228636FDOQ2228636
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
Recommendations
- A second-order weak approximation of Heston model by discrete random variables
- Weak approximation of CKLS and CEV processes by discrete random variables
- Weak approximation of CIR equation by discrete random variables
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- Discretising the Heston model: an analysis of the weak convergence rate
Stochastic analysis (60Hxx) Mathematical economics (91Bxx) Probabilistic methods, stochastic differential equations (65Cxx)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- On the discretization schemes for the CIR (and Bessel squared) processes
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- Moment explosions in stochastic volatility models
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- A comparison of biased simulation schemes for stochastic volatility models
- On weak approximations of CIR equation with high volatility
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Weak approximation of CIR equation by discrete random variables
- On weak approximations of \((a, b)\)-invariant diffusions
- Convergence of numerical methods for stochastic differential equations in mathematical finance
- Valuing options in Heston's stochastic volatility model: another analytical approach
- Statistical tools for finance and insurance.
Cited In (4)
- Parameter estimation for the subcritical Heston model based on discrete time observations
- 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
This page was built for publication: Weak approximation of Heston model by discrete random variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2228636)
