Multilevel Monte Carlo simulation for the Heston stochastic volatility model

DOI10.1007/s10444-023-10076-6OpenAlexW4388815307MaRDI QIDQ6144993

Chao Zheng

Publication date: 8 January 2024

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10444-023-10076-6

zbMATH Keywords

convergence rateHeston modelmultilevel Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Unnamed Item
• Unnamed Item
• Simulation of the CEV process and the local martingale property
• Gamma expansion of the Heston stochastic volatility model
• Interest rate models -- theory and practice. With smile, inflation and credit
• Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• Efficient Monte Carlo simulation of security prices
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
• Moment explosions in stochastic volatility models
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• 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
• Multilevel Monte Carlo Methods
• On the Heston Model with Stochastic Interest Rates
• On the discretization schemes for the CIR (and Bessel squared) processes
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Multilevel Monte Carlo Path Simulation
• On the Moments of the Modulus of Continuity of Itô 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
• A simple method for generating gamma variables
• Discretising the Heston model: an analysis of the weak convergence rate
• 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
• Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Efficient Second-order Weak Scheme for Stochastic Volatility Models
• An affine property of the reciprocal Asian option process

This page was built for publication: Multilevel Monte Carlo simulation for the Heston stochastic volatility model