Multilevel Monte Carlo using approximate distributions of the CIR process

DOI10.1007/s10543-023-00980-0zbMath1515.60255OpenAlexW4379386100MaRDI QIDQ6157841

Chao Zheng

Publication date: 22 June 2023

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-023-00980-0

zbMATH Keywords

Heston modelCIR processmultilevel Monte Carloapproximate distribution

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)

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