simByQuadExp
Simulate Bates
, Heston
, and
CIR
sample paths by quadratic-exponential discretization
scheme
Syntax
Description
[
simulates Paths
,Times
,Z
] = simByQuadExp(MDL
,NPeriods
)NTrials
sample paths of a Heston model driven by
two Brownian motion sources of risk, or a CIR model driven by one Brownian
motion source of risk. Both Heston and Bates models approximate continuous-time
stochastic processes by a quadratic-exponential discretization scheme. The
simByQuadExp
simulation derives directly from the
stochastic differential equation of motion; the discrete-time process approaches
the true continuous-time process only in the limit as
DeltaTime
approaches zero.
[
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.Paths
,Times
,Z
] = simByQuadExp(___,Name,Value
)
[
simulates Paths
,Times
,Z
,N
] = simByQuadExp(MDL
,NPeriods
)NTrials
sample paths of a Bates model driven by
two Brownian motion sources of risk, approximating continuous-time stochastic
processes by a quadratic-exponential discretization scheme. The
simByQuadExp
simulation derives directly from the
stochastic differential equation of motion; the discrete-time process approaches
the true continuous-time process only in the limit as
DeltaTime
approaches zero.
[
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.Paths
,Times
,Z
,N
] = simByQuadExp(___,Name,Value
)
You can perform quasi-Monte Carlo simulations using the name-value arguments
for MonteCarloMethod
, QuasiSequence
,
and BrownianMotionMethod
. For more information, see Quasi-Monte Carlo Simulation.
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
Algorithms
References
[1] Andersen, Leif. “Simple and Efficient Simulation of the Heston Stochastic Volatility Model.” The Journal of Computational Finance 11, no. 3 (March 2008): 1–42.
[2] Broadie, M., and O. Kaya. “Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models.” In Proceedings of the 2004 Winter Simulation Conference, 2004., 2:535–43. Washington, D.C.: IEEE, 2004.
[3] Broadie, Mark, and Özgür Kaya. “Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes.” Operations Research 54, no. 2 (April 2006): 217–31.
Version History
Introduced in R2020aSee Also
bates
| heston
| cir
| simByEuler
| simByTransition
Topics
- Simulating Equity Prices
- Simulating Interest Rates
- Stratified Sampling
- Price American Basket Options Using Standard Monte Carlo and Quasi-Monte Carlo Simulation
- Base SDE Models
- Drift and Diffusion Models
- Linear Drift Models
- Parametric Models
- SDEs
- SDE Models
- SDE Class Hierarchy
- Quasi-Monte Carlo Simulation
- Performance Considerations