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

DOI10.1142/S0219024913500143zbMath1269.91104arXiv0802.4411OpenAlexW2963014857MaRDI QIDQ2841330

Anke Wiese, Simon J. A. Malham

Publication date: 24 July 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.4411

zbMATH Keywords

stochastic volatilityHeston modelCIR processCox-Ingersoll-Ross processGaussian samplinggeneralized Gaussian random variablesdirect inversion methodBeasley-Springer-Moro methodchi-square samplinggeneralized Marsaglia's polar method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Related Items (9)

CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE ⋮ Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model ⋮ Multilevel Monte Carlo simulation for the Heston stochastic volatility model ⋮ Multilevel Monte Carlo using approximate distributions of the CIR process ⋮ Efficient almost-exact Lévy area sampling ⋮ Higher-order weak schemes for the Heston stochastic volatility model by extrapolation ⋮ Spectral density-based and measure-preserving ABC for partially observed diffusion processes. An illustration on Hamiltonian SDEs ⋮ Series Expansions and Direct Inversion for the Heston Model ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion

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