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3 years ago - Broadie-Kaya, BK method: Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Andersen, QE-M method: Efficient Simulation of the Heston Stochastic Volatility Model
Finally, we conclude with a comprehensive numerical study of these new schemes and the exact scheme of Broadie and Kaya, the almost exact scheme of Smith, the Kahl-Jäckel scheme, the FT scheme of Lord et al. and the QE-M scheme of Andersen. From these results, we find that the QE-M scheme is the most efficient, followed closely by the NCI-M, NCI-QE-M and BK-DI-M schemes, whilst we observe that all other considered schemes perform a factor 6 to 70 times less efficient than the latter four methods.
PyTorch native implementation is desirable for computation speed.