Preliminary list of abstracts

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Multi-level Monte Carlo for path-dependent Options in the Heston Model
Mon, 10:45--11:10
  • Neuenkirch, Andreas (FB Mathematik, TU Kaiserslautern, Germany)
  • Dereich, Steffen (Fachbereich Mathematik und Informatik, Philipps Universität Marburg)

The Heston model is a popular stochastic volatility model in mathematical finance. Although numerous discretization schemes have been proposed for the approximation of the corresponding SDE, no strong convergence rates are known so far, since the Heston SDE contains non-Lipschitz square-root coefficients.

In this talk, we will study an Euler-type method for the approximation of the Heston Model and derive its strong convergence rate. Based on this, we will build Multi-level Monte-Carlo estimators for the quadrature of path-dependent functionals in the Heston Model.