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Simulating the Heston Model via the ...

Zhao, Xiaoyang.

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Simulating the Heston Model via the QE Method with a Specified Error Tolerance.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Simulating the Heston Model via the QE Method with a Specified Error Tolerance./
作者:	Zhao, Xiaoyang.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
面頁冊數:	36 p.
附註:	Source: Masters Abstracts International, Volume: 56-04.
Contained By:	Masters Abstracts International56-04(E).
標題:	Mathematics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10273891
ISBN:	9781369853131

Simulating the Heston Model via the QE Method with a Specified Error Tolerance.
Zhao, Xiaoyang.

Simulating the Heston Model via the QE Method with a Specified Error Tolerance. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 36 p.

Source: Masters Abstracts International, Volume: 56-04.

Thesis (M.S.)--Illinois Institute of Technology, 2017.

The Quadratic Exponential (QE) model is a market standard simulation method for the Heston stochastic volatility model. We identify certain numerical problems with the standard discretization and modify the original method to correct these problems. We implement our modified QE scheme for the Heston model in the Guaranteed Automatic Integration Library (GAIL)---a suite of algorithms that includes Monte Carlo and quasi-Monte Carlo methods for multidimensional integration and computation of means. GAIL computes answers to satisfy user-defined error tolerances. We also implement variance reduction techniques for our modified QE scheme in GAIL. The numerical results show that our modified scheme is fast and accurate, and satisfies the user-defined error tolerances.

ISBN: 9781369853131Subjects--Topical Terms:

515831
Mathematics.

Simulating the Heston Model via the QE Method with a Specified Error Tolerance.
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