2023/01/28 by Chao Zheng, Zheng, Chao, Jiangtao Pan +1
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · #60H35 #65C30 #91G60 #Advanced Queuing Theory Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA) #Probability and Risk Models #Statistics Theory (math.ST) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2301.12072
openalex publication_date 2023/01/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with stochastic interest rates. Then, under mild assumptions, we show that the convergence rate in the L2 norm is O(h), where h is the step size. The result applies to a large class of models, such as the Heston-Hull-While model, the Heston-CIR model and the Heston-Black-Karasinski model. Numerical experiments support our theoretical convergence rate.