EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL

DOI10.1142/S0219024910005668zbMath1203.91308OpenAlexW3124464240MaRDI QIDQ3560077

Alexander van Haastrecht, Antoon Pelsser

Publication date: 19 May 2010

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

Full work available at URL: https://doi.org/10.1142/s0219024910005668

zbMATH Keywords

simulationstochastic volatilitycontrol variateHestonnon-central chi-squared inversion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (22)

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL ⋮ Calibration and simulation of Heston model ⋮ On an efficient multiple time step Monte Carlo simulation of the SABR model ⋮ Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation ⋮ Conditional Sampling for Barrier Option Pricing Under the Heston Model ⋮ Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model ⋮ Analytic approach to solve a degenerate parabolic PDE for the Heston model ⋮ Multilevel Monte Carlo simulation for the Heston stochastic volatility model ⋮ Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps ⋮ Multilevel Monte Carlo using approximate distributions of the CIR process ⋮ EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING ⋮ Levelling the playing field: a VIX-linked structure for funded pension schemes ⋮ Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model ⋮ Gamma expansion of the Heston stochastic volatility model ⋮ Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation ⋮ Higher-order weak schemes for the Heston stochastic volatility model by extrapolation ⋮ NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS ⋮ Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Series Expansions and Direct Inversion for the Heston Model ⋮ CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL ⋮ Valuation of forward start options under affine jump-diffusion models

Uses Software

• pchip

Cites Work

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