Weak approximation of Heston model by discrete random variables

DOI10.1016/J.MATCOM.2015.02.003OpenAlexW2134319121MaRDI QIDQ2228636

Vigirdas Mackevičius, Antanas Lenkšas

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2015.02.003

zbMATH Keywords

option pricingHeston modelweak approximationssplit-step approximationsCIR

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Mathematical economics (91Bxx) Probabilistic methods, stochastic differential equations (65Cxx)

Related Items (2)

Backward simulation methods for pricing American options under the CIR process ⋮ A second-order weak approximation of Heston model by discrete random variables

Cites Work

• Weak approximation of CIR equation by discrete random variables
• Valuing options in Heston's stochastic volatility model: another analytical approach
• On weak approximations of \((a, b)\)-invariant diffusions
• On weak approximations of CIR equation with high volatility
• Moment explosions in stochastic volatility models
• Convergence of numerical methods for stochastic differential equations in mathematical finance
• Statistical Tools for Finance and Insurance
• On the discretization schemes for the CIR (and Bessel squared) processes
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• A comparison of biased simulation schemes for stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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