Efficient Second-order Weak Scheme for Stochastic Volatility Models

DOI10.1007/978-3-0348-0545-2_20zbMath1287.60084OpenAlexW173989405MaRDI QIDQ5746534

Mohamed Karim Sbai, Benjamin Jourdain

Publication date: 19 February 2014

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_20

zbMATH Keywords

weak convergencestochastic volatility modelsLamperti transformdiscretization schemes

Mathematics Subject Classification ID

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

Related Items (5)

Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation ⋮ Multilevel Monte Carlo simulation for the Heston stochastic volatility model ⋮ Asymptotics for the Euler-discretized Hull-White stochastic volatility model ⋮ Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme ⋮ Efficient Second-order Weak Scheme for Stochastic Volatility Models

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