Proceedings of the 2015 International Conference on Artificial Intelligence and Industrial Engineering

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/).

Download article (PDF)

Volume Title
Proceedings of the 2015 International Conference on Artificial Intelligence and Industrial Engineering
Series
Advances in Intelligent Systems Research
Publication Date
July 2015
ISBN
978-94-62520-70-7
ISSN
1951-6851
DOI
10.2991/aiie-15.2015.125How to use a DOI?
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  -