06-046/4 - A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

• Authors
  Roger Lord, Erasmus Universiteit Rotterdam, and Rabobank; Remmert Koekkoek, Robeco Alternative Investments; Dick van Dijk, Faculty of Economics, Erasmus Universiteit Rotterdam
• Publication date
  May 18, 2006

• Keywords
  Stochastic volatility; Heston; square root process; Euler-Maruyama; discretisation; strong convergence; weak convergence; boundary behaviour
• JEL
  C63; G13