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Double Integral in Milstein Scheme for 2 SDE's (e.g. Heston model)
Hello everyone,perhaps someone of you came across with an issue of double stochastic integral calculation. It arose from a Milstein scheme used for Heston model and it is as:I' d like to put it to MC calculation, but unfortunately do not know how to embed it in the script.Do you know any explicit numerical approach to its approximation?Any help would be appreciated.PiotrW
Last edited by PiotrW on May 2nd, 2010, 10:00 pm, edited 1 time in total.
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- FaridMoussaoui
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Double Integral in Milstein Scheme for 2 SDE's (e.g. Heston model)
Have a look to:Random Generation of Stochastic Area Integrals.J. G. Gaines and T. J. LyonsSIAM Journal of Applied Mathematics. Volume 54, Issue 4, pp. 1132-1146F.
Double Integral in Milstein Scheme for 2 SDE's (e.g. Heston model)
Hi,thank you FaridMoussaoui for a quick response.For the others:Random Generation of Stochastic Area Integrals. J. G. Gaines and T. J. Lyons SIAM Journal of Applied Mathematics. Volume 54, Issue 4, pp. 1132-1146Regards,PiotrW
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Double Integral in Milstein Scheme for 2 SDE's (e.g. Heston model)
Hello,additional information for those interested in the matter:There you can find Exact Fourier Lévy formulae by Prof. Klaus Schmitz:http://www.performancetrading.it/Docume ... act.htmand a reference to four other methods. The comparison between them is put on that website:http://www.performancetrading.it/Docume ... rds,PiotrW
Last edited by PiotrW on May 9th, 2010, 10:00 pm, edited 1 time in total.