The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model

DOI10.1016/j.camwa.2012.01.037zbMath1268.91128OpenAlexW1985923566MaRDI QIDQ356137

Xuerong Mao, Chaminda H. Baduraliya

Publication date: 25 July 2013

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2012.01.037

zbMATH Keywords

stochastic differential equationBrownian motionEulerMaruyama methodoption value

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (7)

Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation ⋮ The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model ⋮ Positivity preserving truncated scheme for the stochastic Lotka-Volterra model with small moment convergence ⋮ Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition ⋮ Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions ⋮ A positivity preserving numerical method for stochastic R\&D model ⋮ Strong convergence of the partially truncated Euler-Maruyama scheme for a stochastic age-structured SIR epidemic model

Uses Software

• Mathematica

Cites Work

• The Pricing of Options and Corporate Liabilities
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
• A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• A Theory of the Term Structure of Interest Rates
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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