Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
From MaRDI portal
Publication:5397429
DOI10.1080/14697688.2012.696678zbMATH Open1281.91191OpenAlexW3122360673MaRDI QIDQ5397429FDOQ5397429
Authors:
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.696678
Recommendations
- A low-bias simulation scheme for the SABR stochastic volatility model
- Efficient, almost exact simulation of the Heston stochastic volatility model
- Simulating from the Heston model: a gamma approximation scheme
- On the Discrete-Time Simulation of the Rough Heston Model
- Calibration and simulation of Heston model
- Mixed Gaussian Heston asset pricing model and statistics simulation analysis
- Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation
- The Heston stochastic-local volatility model: efficient Monte Carlo simulation
- Hedging using simulation: a least squares approach
- A comparison of biased simulation schemes for stochastic volatility models
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70)
Cites Work
- A theory of the term structure of interest rates
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- On the Bessel distribution and related problems
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- A simple method for generating gamma variables
- A comparison of biased simulation schemes for stochastic volatility models
- Efficient, almost exact simulation of the Heston stochastic volatility model
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- The large-maturity smile for the Heston model
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- Generating inverse Gaussian random variates by approximation
- Asymptotic formulae for implied volatility in the Heston model
- Asymptotics of Implied Volatility far from Maturity
- Gamma expansion of the Heston stochastic volatility model
- A note on gamma variate generators with shape parameter less than unity
Cited In (5)
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Simulating from the Heston model: a gamma approximation scheme
- Chi-square simulation of the CIR process and the Heston model
Uses Software
This page was built for publication: Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5397429)
