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Journal ArticleDOI

Simple and efficient simulation of the Heston stochastic volatility model

Leif B. G. Andersen
- 01 Mar 2008 - 
- Vol. 11, Iss: 3, pp 1-42
About: 
This article is published in Journal of Computational Finance.The article was published on 2008-03-01. It has received 291 citations till now. The article focuses on the topics: Heston model & Stochastic volatility.

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Journal ArticleDOI

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Roger Lord, +3 more
- 06 Feb 2008 - 
TL;DR: The new full truncation scheme is introduced, tailored to minimize the positive bias found when pricing European options and outperforms all considered biased schemes in terms of bias and root-mean-squared error.
Journal ArticleDOI

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Roger Lord, +2 more
- 01 Feb 2010 - 
TL;DR: In this paper, the authors unify all Euler fixes into a single general framework and introduce a new full truncation scheme, tailored to minimize the positive bias found when pricing European options.
Journal ArticleDOI

High order discretization schemes for the cir process: application to affine term structure and heston models

Aurélien Alfonsi
- 01 Jan 2010 - 
TL;DR: This paper presents weak second and third order schemes for the Cox-Ingersoll-Ross process, without any restriction on its parameters, and gives a general recursive construction method to get weak second-order schemes that extends the one introduced by Ninomiya and Victoir~\cite{NV.
Journal ArticleDOI

On the Heston Model with Stochastic Interest Rates

Lech A. Grzelak, +1 more
- 01 Jan 2011 - 
TL;DR: In this article, two projection techniques to derive affine approximations of the original Heston model are presented, which can prescribe a nonzero correlation structure between all underlying processes and can therefore be used for fast calibration of the hybrid model.
Journal ArticleDOI

A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

Fang Fang, +1 more
- 01 Jan 2011 - 
TL;DR: In this article, Fang and Oosterlee developed an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored barrier options under the Heston stochastic volatility model.