A second-order weak approximation of Heston model by discrete random variables

DOI10.1007/S10986-015-9298-4zbMath1336.60139OpenAlexW2125839551MaRDI QIDQ904337

Antanas Lenkšas, Vigirdas Mackevičius

Publication date: 13 January 2016

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-015-9298-4

zbMATH Keywords

simulationoption pricingHeston modelmoment matchingweak approximationssplit-step approximationspotential approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Computational technique for simulating variable-order fractional Heston model with application in US stock market

Cites Work

• Weak approximation of CIR equation by discrete random variables
• On weak approximations of \((a, b)\)-invariant diffusions
• Weak approximation of Heston model by discrete random variables
• Moment explosions in stochastic volatility models
• Convergence of numerical methods for stochastic differential equations in mathematical finance
• Statistical Tools for Finance and Insurance
• On the discretization schemes for the CIR (and Bessel squared) processes
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• A comparison of biased simulation schemes for stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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