Higher-order weak schemes for the Heston stochastic volatility model by extrapolation

DOI10.1016/J.JMAA.2021.125463MaRDI QIDQ2235889zbMATH OpenOpenAlexFDO

Authors Chao Zheng

Publication date 22 October 2021

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2021.125463

zbMATH Keywords

exact simulationextrapolationweak orderHeston modeltrapezoidal rule

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 3854294 (Why is no real title available?)
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• Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model

Cited in

(8)

• Efficient second-order weak scheme for stochastic volatility models
• Multilevel Monte Carlo using approximate distributions of the CIR process
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model
• VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
• The weak convergence order of two Euler-type discretization schemes for the log-Heston model
• A second-order weak approximation of Heston model by discrete random variables
• Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model

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