Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets

DOI10.1137/17M1114569zbMath1408.91209arXiv1501.06084OpenAlexW2535824074MaRDI QIDQ4635245

Matthieu Mariapragassam, Andrei Cozma, Christoph Reisinger

Publication date: 16 April 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.06084

zbMATH Keywords

strong convergenceMonte Carlo simulationcalibrationexponential integrabilityHeston modelshifted square-root process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) 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) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21)

Related Items (12)

Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models ⋮ Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model ⋮ Pricing autocallables under local-stochastic volatility ⋮ An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model ⋮ Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers ⋮ Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation

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