Fast strong approximation Monte Carlo schemes for stochastic volatility models
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Publication:3437409
DOI10.1080/14697680600841108zbMATH Open1134.91431OpenAlexW2119734576MaRDI QIDQ3437409FDOQ3437409
Authors: Christian Kahl, Peter Jäckel 
Publication date: 9 May 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600841108
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stochastic volatility modelsstrong approximation errorhyperbolic Ornstein-Uhlenbeck processhyperbolic volatilitystochastic numerical integration
Cites Work
- Mersenne twister
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Stock price distributions with stochastic volatility: an analytic approach
- Discretization and simulation of stochastic differential equations
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- On the Convergence of Ordinary Integrals to Stochastic Integrals
- Volatility skews and extensions of the Libor market model
- Variance Reduction for Simulated Diffusions
- Balanced Milstein Methods for Ordinary SDEs
- Continuous Markov processes and stochastic equations
- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
- Random Generation of Stochastic Area Integrals
- The Brownian movement and stochastic equations
- Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
- Improvements on fast methods for generating normal random variables
Cited In (38)
- Numerical stability of a hybrid method for pricing options
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
- Unbiased estimators and multilevel Monte Carlo
- Calibration and simulation of Heston model
- Critical Ising system testing of high-quality random number generators
- Mean-reverting schemes for solving the CIR model
- A comparison of biased simulation schemes for stochastic volatility models
- A low-bias simulation scheme for the SABR stochastic volatility model
- Unbiased estimation with square root convergence for SDE models
- Option pricing under stochastic volatility models with latent volatility
- Complex logarithms in Heston-like models
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
- Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
- Gamma expansion of the Heston stochastic volatility model
- Backward simulation methods for pricing American options under the CIR process
- Decomposition formula for rough Volterra stochastic volatility models
- A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
- Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
- Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Multiple stochastic volatility extension of the Libor market model and its implementation
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- First order strong approximations of scalar SDEs defined in a domain
- Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
- A fast Monte Carlo scheme for additive processes and option pricing
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
- Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
- Implied value-at-risk and model-free simulation
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
- Efficient, almost exact simulation of the Heston stochastic volatility model
- Approximating explicitly the mean-reverting CEV process
- Efficient second-order weak scheme for stochastic volatility models
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- Chi-square simulation of the CIR process and the Heston model
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
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