Remmert Koekkoek

Credit Suisse

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CRTI 4

P.O. Box

Zurich, CH-8070

Switzerland

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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Tinbergen Institute Discussion Paper No. 06-046/4
Number of pages: 30 Posted: 19 May 2006 Last Revised: 20 Mar 2008
Roger Lord, Remmert Koekkoek and Dick J. C. van Dijk
Cardano Risk Management, Credit Suisse and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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Stochastic volatility, Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour