Abstract
We combine the Multi-level Monte Carlo (MLMC) method with the numerical scheme for the Heston model that simulates the variance process exactly and applies the stochastic trapezoidal rule to approximate the time integrated variance process in the SDE of the logarithmic asset process. We deal with the simulations for path-independent options and for path-dependent options separately. In both situations, novel MLMC estimators are established and the analytical convergence rates for these estimators are derived for the full parameter regime.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
