Sun, Xianming; Gan, Siqing - In: Computational Economics 43 (2014) 4, pp. 433-445
With splitting technique, a new semi-analytical scheme with predictable strong convergence order 1.0 is proposed for the transformed Heston model, where the variance process is displaced by the corresponding volatility process. The volatility process is decomposed into a linear SDE and an ODE,...