The weak convergence order of two Euler-type discretization schemes for the log-Heston model

被引：3

作者：

Mickel, Annalena ^{[1
,2
]}

Neuenkirch, Andreas ^{[1
]}

机构：

[1] Univ Mannheim, Math Inst, B6, 26, D-68131 Mannheim, Germany

[2] Univ Mannheim, DFG Res Training Grp 1953, B6, 26, D-68131 Mannheim, Germany

来源：

IMA JOURNAL OF NUMERICAL ANALYSIS | 2023年 / 43卷 / 06期

关键词：

Heston model; CIR process; discretization schemes for SDEs; Kolmogorov PDE; Euler scheme; nonstandard assumptions; INGERSOLL-ROSS PROCESSES; STOCHASTIC VOLATILITY; NUMERICAL SCHEMES; JUMP-DIFFUSION; SIMULATION; RATES; CIR;

D O I：

10.1093/imanum/drac069

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the weak convergence order of two Euler-type discretizations of the log-Heston Model where we use symmetrization and absorption, respectively, to prevent the discretization of the underlying CIR process from becoming negative. If the Feller index nu of the CIR process satisfies nu > 1, we establish weak convergence order one, while for nu <= 1, we obtain weak convergence order nu-? for ?> 0 arbitrarily small. We illustrate our theoretical findings by several numerical examples.

引用

页码：3326 / 3356

页数：31

共 17 条

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