# Unbiased estimators for the Heston model with stochastic interest rates

@article{Zheng2023UnbiasedEF, title={Unbiased estimators for the Heston model with stochastic interest rates}, author={Chao Zheng and Jiangtao Pan}, journal={ArXiv}, year={2023}, volume={abs/2301.12072} }

We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specif-ically, we ﬁrst develop a semi-exact log-Euler scheme for the Heston model with stochastic interest rates, and then, under mild assumptions, we show that the convergence rate in L 2 norm is O ( h ), where h is the step size. The result applies to a large class of models, such as the Heston-Hull-While model, the Heston-CIR model and the…

## One Citation

### Optimal distributions for randomized unbiased estimators with an infinite horizon and an adaptive algorithm

- Mathematics
- 2023

The randomized unbiased estimators of Rhee and Glynn (Operations Research:63(5), 1026-1043, 2015) can be highly efficient at approximating expectations of path functionals associated with stochastic…

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