The weak convergence order of two Euler-type discretization schemes for the log-Heston model

Abstract We study the weak convergence order of two Euler-type discretizations log-Heston model where we use symmetrization and absorption, respectively, to prevent discretization underlying CIR process from becoming negative. If Feller index $\nu $ satisfies $\nu>1$, establish 1 $, while for \leq 1$, obtain -\epsilon $\epsilon>0$ arbitrarily small. illustrate our theoretical findings by several numerical examples.