High order discretization schemes for the CIR process: application to affine term structure and heston models
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Publication:3584774
DOI10.1090/S0025-5718-09-02252-2zbMATH Open1198.60030OpenAlexW2151162365MaRDI QIDQ3584774FDOQ3584774
Authors: Aurélien Alfonsi 
Publication date: 30 August 2010
Published in: Mathematics of Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0025-5718-09-02252-2
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simulationdiscretization schemeHeston modelsquared Bessel processCox-Ingersoll-Ross modelaffine term structure models (ATSM)
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic models in economics (91B70)
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- Weak approximation of CIR equation by discrete random variables
- Numerical stability of a hybrid method for pricing options
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
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- Verhulst versus CIR
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
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- European options sensitivity with respect to the correlation for multidimensional Heston models
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- Option pricing in sandwiched Volterra volatility model
- High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
- An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
- An adaptive splitting method for the Cox-Ingersoll-Ross process
- Efficient option pricing in the rough Heston model using weak simulation schemes
- Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
- Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
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