Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
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exact simulationjump-diffusion modelsstochastic trapezoidal rulestochastic volatility modelsweak convergence rate
Central limit and other weak theorems (60F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical integration (65D30) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A comparison of biased simulation schemes for stochastic volatility models
- A theory of the term structure of interest rates
- 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
- Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
- Convergence of numerical methods for stochastic differential equations in mathematical finance
- Efficient, almost exact simulation of the Heston stochastic volatility model
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- Gamma expansion of the Heston stochastic volatility model
- High order discretization schemes for the CIR process: application to affine term structure and heston models
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- Moment explosions in stochastic volatility models
- Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts
- Numerical Evaluation of Multiple Integrals
- Numerical Integration Over Simplexes and Cones
- On the discretization schemes for the CIR (and Bessel squared) processes
- Quadrature Over a Pyramid or Cube of Integrands with a Singularity at a Vertex
Cited in
(17)- Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
- Diamond-cell finite volume scheme for the Heston model
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
- Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
- Discretising the Heston model: an analysis of the weak convergence rate
- Short communication: on the weak convergence rate in the discretization of rough volatility models
- Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
- Solution behavior of Heston model using impression matrix norm
- Efficient second-order weak scheme for stochastic volatility models
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
- Multilevel Monte Carlo using approximate distributions of the CIR process
- The weak convergence order of two Euler-type discretization schemes for the log-Heston model
- Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients
- Optimal distributions for randomized unbiased estimators with an infinite horizon and an adaptive algorithm
- Convergence analysis of the discrete duality finite volume scheme for the regularised Heston model
- A second-order weak approximation of Heston model by discrete random variables
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