Discretising the Heston model: an analysis of the weak convergence rate

DOI10.1093/imanum/drw063zbMath1433.91192arXiv1604.05540OpenAlexW2963004423MaRDI QIDQ4683814

Andreas Neuenkirch, Martin Altmayer

Publication date: 26 September 2018

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.05540

zbMATH Keywords

Malliavin calculusHeston modelKolmogorov PDEdiscretisation schemes for SDEs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models ⋮ Computational technique for simulating variable-order fractional Heston model with application in US stock market ⋮ Multilevel Monte Carlo simulation for the Heston stochastic volatility model ⋮ Higher-order weak schemes for the Heston stochastic volatility model by extrapolation ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model ⋮ Series Expansions and Direct Inversion for the Heston Model

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