Path properties of simulation schemes for the Heston stochastic volatility model

Gianna Figà-Talamanca

No 68/2008, Quaderni del Dipartimento di Economia, Finanza e Statistica from Università di Perugia, Dipartimento Economia

Abstract: The aim of this study is to evaluate some simulation schemes recently suggested for the Heston model by examining their ability in reproducing, on the simulated paths, the autocovariance function of the generated model, when discretely observed. This is done by applying the outcomes of previous research where, based on discrete equi-spaced observations of the log-price, we determined an approximate confidence band for the theoretical autocovariance function of the mean variance process.

Pages: 30 pages
Date: 2009-10-01
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