We study the weak convergence order of two Euler-type discretizations of the log-Heston model where we use symmetrization and absorption, respectively, to prevent the discretization of the underlying CIR process from becoming negative. If the Feller index $\nu$ of the CIR process satisfies $\nu > 1$, we establish weak convergence order one, while for $\nu \leq 1, we obtain weak convergence order $\nu -\varepsilon$ for $\varepsilon > 0$ arbitrarily small. We illustrate our theoretical findings by several numerical examples.
Dieser Eintrag ist Teil der Universitätsbibliographie.
Suche Autoren in
