Efficient, almost exact simulation of the Heston stochastic volatility model
DOI10.1142/S0219024910005668zbMATH Open1203.91308OpenAlexW3124464240MaRDI QIDQ3560077FDOQ3560077
Authors: Alexander van Haastrecht, Antoon Pelsser 
Publication date: 19 May 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024910005668
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Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (28)
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Multilevel Monte Carlo using approximate distributions of the CIR process
- Calibration and simulation of Heston model
- A robust spectral method for solving Heston's model
- On an efficient multiple time step Monte Carlo simulation of the SABR model
- Series Expansions and Direct Inversion for the Heston Model
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- A comparison of biased simulation schemes for stochastic volatility models
- A low-bias simulation scheme for the SABR stochastic volatility model
- Nearly exact option price simulation using characteristic functions
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
- Full and fast calibration of the Heston stochastic volatility model
- Levelling the playing field: a VIX-linked structure for funded pension schemes
- Analytic approach to solve a degenerate parabolic PDE for the Heston model
- Conditional sampling for barrier option pricing under the Heston model
- The Heston stochastic-local volatility model: efficient Monte Carlo simulation
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
- Gamma expansion of the Heston stochastic volatility model
- Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- Simulating from the Heston model: a gamma approximation scheme
- Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- Valuation of forward start options under affine jump-diffusion models
- Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
- Chi-square simulation of the CIR process and the Heston model
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