Effective Discretization Scheme for the Heston Model: Implicit Solution Based Approach
Authors
Y.F Sun, L.T Ding, C.Y Liu, G.Y Zhang
Corresponding Author
Y.F Sun
Available Online June 2015.
- DOI
- 10.2991/cisia-15.2015.237How to use a DOI?
- Keywords
- discretization scheme; Heston; implicit solution; exact simulation; QE scheme
- Abstract
Four novel discretization schemes that built on the implicit solution of the variance, are proposed to effectively simulate the Heston model. The idea behind these schemes is fundamentally different from those of the Euler and Milstein based discretization schemes, and the so-called nearly exact simulation approaches. Numerical experiments show that these new schemes are of both accuracy and fast convergence in option pricing, and seem almost comparable to the famous quadratic exponential scheme.
- Copyright
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Y.F Sun AU - L.T Ding AU - C.Y Liu AU - G.Y Zhang PY - 2015/06 DA - 2015/06 TI - Effective Discretization Scheme for the Heston Model: Implicit Solution Based Approach BT - Proceedings of the International Conference on Computer Information Systems and Industrial Applications PB - Atlantis Press SP - 886 EP - 888 SN - 2352-538X UR - https://doi.org/10.2991/cisia-15.2015.237 DO - 10.2991/cisia-15.2015.237 ID - Sun2015/06 ER -