Multilevel Monte Carlo using approximate distributions of the CIR process
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software
Link
https://link.springer.com/content/pdf/10.1007/s10543-023-00980-0.pdf
Reference32 articles.
1. Alfonsi, A.: On the discretization schemes for the CIR (and Bessel squared) processes. Monte Carlo Methods Appl. 11, 355–384 (2005)
2. Alfonsi, A.: High order discretization schemes for the CIR process: application to affine term structure and Heston models. Math. Comput. 79(269), 209–237 (2010)
3. Altmayer, M., Neuenkirch, A.: Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized heston model using Malliavin integration by parts. SIAM J. Financ. Math. 6(1), 22–52 (2015)
4. Andersen, L.: Simple and efficient simulation of the Heston stochastic volatility model. J. Comput. Finance 11(3), 1–41 (2008)
5. Andersen, L., Piterbarg, V.: Moment explosions in stochastic volatility models. Finance Stoch. 11, 29–50 (2007)
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