Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model

DOI10.1137/16M1060315zbMATH Open1368.91182OpenAlexW167177046MaRDI QIDQ5346007FDOQ5346007

Authors: Chao Zheng 

Publication date: 8 June 2017

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m1060315

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• Discretising the Heston model: an analysis of the weak convergence rate
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• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
• On the Discrete-Time Simulation of the Rough Heston Model
• Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models

zbMATH Keywords

exact simulationstochastic volatility modelsjump-diffusion modelsweak convergence ratestochastic trapezoidal rule

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Numerical integration (65D30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic models in economics (91B70)

Cites Work

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Cited In (15)

• Short communication: on the weak convergence rate in the discretization of rough volatility models
• Convergence analysis of the discrete duality finite volume scheme for the regularised Heston model
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Multilevel Monte Carlo using approximate distributions of the CIR process
• 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
• Diamond-cell finite volume scheme for the Heston model
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model
• Solution behavior of Heston model using impression matrix norm
• The weak convergence order of two Euler-type discretization schemes for the log-Heston model
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
• A second-order weak approximation of Heston model by discrete random variables
• Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
• Efficient second-order weak scheme for stochastic volatility models

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