Multilevel Monte Carlo using approximate distributions of the CIR process

DOI10.1007/S10543-023-00980-0zbMATH Open1515.60255OpenAlexW4379386100MaRDI QIDQ6157841FDOQ6157841

Authors: 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

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zbMATH Keywords

CIR processmultilevel Monte CarloHeston modelapproximate 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)

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
• Multilevel Monte Carlo Path Simulation
• On the discretization schemes for the CIR (and Bessel squared) processes
• Moment explosions in stochastic volatility models
• A comparison of biased simulation schemes for stochastic volatility models
• Efficient, almost exact simulation of the Heston stochastic volatility model
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• First order strong approximations of scalar SDEs defined in a domain
• Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Title not available (Why is that?)
• Analysis of nested multilevel Monte Carlo using approximate normal random variables
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• A closed-form formula for the conditional moments of the extended CIR process
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
• Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks
• Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs
• Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
• Chi-square simulation of the CIR process and the Heston model

Cited In (3)

• Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
• Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method
• Multilevel Markov Chain Monte Carlo

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