Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model

DOI10.1137/16M1060315zbMath1368.91182OpenAlexW167177046MaRDI QIDQ5346007

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

zbMATH Keywords

exact simulationstochastic volatility modelsjump-diffusion modelsweak convergence ratestochastic trapezoidal rule

Mathematics Subject Classification ID

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

Related Items (5)

Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models ⋮ Multilevel Monte Carlo simulation for the Heston stochastic volatility model ⋮ Multilevel Monte Carlo using approximate distributions of the CIR process ⋮ Higher-order weak schemes for the Heston stochastic volatility model by extrapolation ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Gamma expansion of the Heston stochastic volatility model
• Moment explosions in stochastic volatility models
• CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL
• Convergence of numerical methods for stochastic differential equations in mathematical finance
• A Theory of the Term Structure of Interest Rates
• Numerical Integration Over Simplexes and Cones
• On the discretization schemes for the CIR (and Bessel squared) processes
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Fast strong approximation Monte Carlo schemes for stochastic volatility models
• EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• Quadrature Over a Pyramid or Cube of Integrands with a Singularity at a Vertex
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets
• A comparison of biased simulation schemes for stochastic volatility models
• Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Numerical Evaluation of Multiple Integrals

This page was built for publication: Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model