Weak approximation of Heston model by discrete random variables
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Publication:2228636
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
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
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- On weak approximations of CIR equation with high volatility
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- Convergence of numerical methods for stochastic differential equations in mathematical finance
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- 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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