The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model

Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243–1263, we studied weak error discretization schemes model, which are based exact simulation underlying volatility process. Both an Euler- and trapezoidal-type scheme log-asset price, established order one smooth payoffs without any assumptions Feller index In our analysis, also observed usual trade off between smoothness assumption payoff restriction index. Moreover, provided expansions, could be used to construct second via extrapolation. this paper, illustrate theoretical findings several numerical examples.