Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models
DOI10.1137/17M1136754zbMath1433.60074arXiv1706.07375OpenAlexW2724053019WikidataQ128701877 ScholiaQ128701877MaRDI QIDQ4562237
Andrei Cozma, Christoph Reisinger
Publication date: 19 December 2018
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.07375
Monte Carlo simulationEuler schemepath-dependent volatilityrunning maximumCox-Ingersoll-Ross processstrong convergence order
Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On stochastic differential equations with arbitrary slow convergence rates for strong approximation
- Mimicking an Itō process by a solution of a stochastic differential equation
- Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
- First order strong approximations of scalar SDEs defined in a domain
- Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
- The optimal uniform approximation of systems of stochastic differential equations
- Discretization error in simulation of one-dimensional reflecting Brownian motion
- Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
- Loss of regularity for Kolmogorov equations
- Moment explosions in stochastic volatility models
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
- A Theory of the Term Structure of Interest Rates
- THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
- On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
- Sharp maximal inequalities for the martingale square bracket
- The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- On the discretization schemes for the CIR (and Bessel squared) processes
- Multilevel Monte Carlo Path Simulation
- On the Moments of the Modulus of Continuity of Itô Processes
- Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets
- Discretising the Heston model: an analysis of the weak convergence rate
- A Simple Proof of the Existence of a Solution of Itô’s Equation with Monotone Coefficients
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- A forward equation for barrier options under the Brunick & Shreve Markovian projection
- A comparison of biased simulation schemes for stochastic volatility models
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Stochastic Calculus and Applications
- An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
- Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- The optimal discretization of stochastic differential equations
