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

DOI10.1016/J.JMAA.2021.125463zbMATH Open1471.91587OpenAlexW3182913019MaRDI QIDQ2235889FDOQ2235889

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

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• Discretising the Heston model: an analysis of the weak convergence rate

zbMATH Keywords

exact simulationextrapolationweak orderHeston modeltrapezoidal rule

Mathematics Subject Classification ID

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

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Title not available (Why is that?)
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• A comparison of biased simulation schemes for stochastic volatility models
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• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Fast strong approximation Monte Carlo schemes for stochastic volatility models
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• Gamma expansion of the Heston stochastic volatility model
• Extrapolation Methods for the Weak Approximation of Ito Diffusions
• Extrapolation methods in numerical integration
• A closed-form formula for the conditional moments of the extended CIR process
• Discretising the Heston model: an analysis of the weak convergence rate
• Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
• Asymptotic Expansions for Integration Formulas in One or More Dimensions
• Quadrature over a Simplex: Part 2. A Representation for the Error Functional
• Chi-square simulation of the CIR process and the Heston model
• The Euler-Maclaurin Expansion for the Simplex
• An introduction to numerical analysis

Cited In (8)

• 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
• The weak convergence order of two Euler-type discretization schemes for the log-Heston model
• VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
• 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
• Efficient second-order weak scheme for stochastic volatility models

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