Unbiased estimators for the Heston model with stochastic interest rates
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| _version_ | 1866918199484743680 |
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| author | Zheng, Chao Pan, Jiangtao |
| author_facet | Zheng, Chao Pan, Jiangtao |
| contents | We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with stochastic interest rates. Then, under mild assumptions, we show that the convergence rate in the $L^2$ norm is $O(h)$, where $h$ is the step size. The result applies to a large class of models, such as the Heston-Hull-While model, the Heston-CIR model and the Heston-Black-Karasinski model. Numerical experiments support our theoretical convergence rate. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2301_12072 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Unbiased estimators for the Heston model with stochastic interest rates Zheng, Chao Pan, Jiangtao Computational Finance Numerical Analysis Statistics Theory 60H35, 65C30, 91G60 We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with stochastic interest rates. Then, under mild assumptions, we show that the convergence rate in the $L^2$ norm is $O(h)$, where $h$ is the step size. The result applies to a large class of models, such as the Heston-Hull-While model, the Heston-CIR model and the Heston-Black-Karasinski model. Numerical experiments support our theoretical convergence rate. |
| title | Unbiased estimators for the Heston model with stochastic interest rates |
| topic | Computational Finance Numerical Analysis Statistics Theory 60H35, 65C30, 91G60 |
| url | https://arxiv.org/abs/2301.12072 |