An Effective Simulation of Heston Model: Combining Quadratic Exponential and Exact Simulation Schemes
Authors
Y.F. Sun, G.Y. Zhang, S.Q. Li
Corresponding Author
Y.F. Sun
Available Online July 2015.
- DOI
- 10.2991/aiie-15.2015.125How to use a DOI?
- Keywords
- Heston model; monte-carlo; quadratic exponential; exact simulation; feller condition
- Abstract
A new discretization scheme ES-QE by combining the exact simulation (ES) and quadratic exponential (QE) scheme is proposed to simulate the volatility process and price process of the Heston model. Performances of new scheme are investigated via European option valuation with Monte-Carlo method. Numerical results show that the ES-QE scheme has a convergent mean-squared-root error with its operating accuracy higher than QE schemes and the efficiency much higher than ES’.
- 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 - G.Y. Zhang AU - S.Q. Li PY - 2015/07 DA - 2015/07 TI - An Effective Simulation of Heston Model: Combining Quadratic Exponential and Exact Simulation Schemes BT - Proceedings of the 2015 International Conference on Artificial Intelligence and Industrial Engineering PB - Atlantis Press SP - 461 EP - 464 SN - 1951-6851 UR - https://doi.org/10.2991/aiie-15.2015.125 DO - 10.2991/aiie-15.2015.125 ID - Sun2015/07 ER -