The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model

The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model

Inspired by the article <i>Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243–1263</i>, we studied the weak error of discretization schemes for the Heston model, which are based on ex...

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Bibliographic Details
Main Authors: Annalena Mickel, Andreas Neuenkirch
Format: Article
Language:English
Published: MDPI AG 2021-01-01
Series:Risks
Subjects:
Heston model
discretization schemes for SDEs
exact simulation of the CIR process
Kolmogorov PDE
Malliavin calculus
Online Access:https://www.mdpi.com/2227-9091/9/1/23

Internet

https://www.mdpi.com/2227-9091/9/1/23

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