Artikel
The weak convergence rate of two semi-exact discretization schemes for the Heston model
Inspired by the article 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, we studied the weak error of discretization schemes for the Heston model, which are based on exact simulation of the underlying volatility process. Both for an Euler- and a trapezoidal-type scheme for the log-asset price, we established weak order one for smooth payoffs without any assumptions on the Feller index of the volatility process. In our analysis, we also observed the usual trade off between the smoothness assumption on the payoff and the restriction on the Feller index. Moreover, we provided error expansions, which could be used to construct second order schemes via extrapolation. In this paper, we illustrate our theoretical findings by several numerical examples.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-38 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
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discretization schemes for SDEs
exact simulation of the CIR process
Heston model
Kolmogorov PDE
Malliavin calculus
- Ereignis
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Geistige Schöpfung
- (wer)
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Mickel, Annalena
Neuenkirch, Andreas
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
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doi:10.3390/risks9010023
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Mickel, Annalena
- Neuenkirch, Andreas
- MDPI
Entstanden
- 2021
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