• DOI:10.48550/arXiv.2301.12072
• Corpus ID: 256389368

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}
}

• C. Zheng, Jiangtao Pan
• Published 28 January 2023
• Mathematics, Economics
• ArXiv

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 Heston-Black-Karasinski model. Numerical experiments confirm our theoretical convergence rate.