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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
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