The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model

DOI10.1016/J.CAMWA.2012.01.037MaRDI QIDQ356137zbMATHOpenAlexFDO

Authors Chaminda H. Baduraliya, Xuerong Mao

Publication date 25 July 2013

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2012.01.037

zbMATH Keywords

stochastic differential equationBrownian motionEulerMaruyama methodoption value

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic models in economics (91B70)

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• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Convergence of the Euler scheme for a class of stochastic differential equations
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The pricing of options and corporate liabilities

Cited in

(12)

• Mean-reverting \(\theta\) process with time delay and the convergence of its numerical solution
• Strong convergence of the partially truncated Euler-Maruyama scheme for a stochastic age-structured SIR epidemic model
• A positivity preserving numerical method for stochastic R\&D model
• Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
• A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
• Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
• Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
• Positivity preserving truncated scheme for the stochastic Lotka-Volterra model with small moment convergence
• Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition
• The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model

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Uses Software

• Mathematica

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