Path properties of simulation schemes for the Heston stochastic volatility model
AbstractThe aim of this study is to evaluate some simulation schemes recently suggested for the Heston model by examining their ability in reproducing, on the simulated paths, the autocovariance function of the generated model, when discretely observed. This is done by applying the outcomes of previous research where, based on discrete equi-spaced observations of the log-price, we determined an approximate confidence band for the theoretical autocovariance function of the mean variance process.
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Bibliographic InfoPaper provided by Università di Perugia, Dipartimento Economia, Finanza e Statistica in its series Quaderni del Dipartimento di Economia, Finanza e Statistica with number 68/2008.
Length: 30 pages
Date of creation: 01 Oct 2009
Date of revision:
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