FoCM 2014 conference

Workshop C6 - Stochastic Computation

December 20, 17:00 ~ 17:30 - Room C11

Weak approximation of the Heston model: non-smooth payoffs

Andreas Neuenkirch

University of Mannheim, Germany   -

In this talk, we will study the weak approximation of the Heston price process for payoff functions, which are only measurable and bounded. The main tool for our analysis will be the explicit knowledge of the characteristic function of the Heston price, since we can not rely on the seminal work of Bally and Talay (1995). The latter requires smooth coefficients and Gaussian tails for the underlying SDE, which is not fulfilled for the Heston model.

Joint work with Martin Altmayer (University of Mannheim, Germany).

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