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Multilevel Monte Carlo using approximate distributions of the CIR process (Q6157841)

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scientific article; zbMATH DE number 7700178

Language	Label	Description	Also known as
English	Multilevel Monte Carlo using approximate distributions of the CIR process	scientific article; zbMATH DE number 7700178

Statements

scholarly article

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Multilevel Monte Carlo using approximate distributions of the CIR process (English)

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publication date

22 June 2023

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zbMATH Keywords

multilevel Monte Carlo

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approximate distribution

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CIR process

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Heston model

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10543-023-00980-0

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On the discretization schemes for the CIR (and Bessel squared) processes

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High order discretization schemes for the CIR process: Application to affine term structure and Heston models

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Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts

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Moment explosions in stochastic volatility models

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Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs

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An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

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A Theory of the Term Structure of Interest Rates

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Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process

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An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

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Multilevel Monte Carlo Path Simulation

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Multilevel Monte Carlo Methods

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Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables

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Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks

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Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range

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On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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A comparison of biased simulation schemes for stochastic volatility models

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CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL

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First order strong approximations of scalar SDEs defined in a domain

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A closed-form formula for the conditional moments of the extended CIR process

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EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL

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

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Higher-order weak schemes for the Heston stochastic volatility model by extrapolation

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Identifiers

zbMATH Open document ID

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10.1007/s10543-023-00980-0

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6157841

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