3 papers
q-fin.CP2026
Simulation of stochastic volatility models via operator splitting schemes
Lilian Hu, Congxin He, Yue Kuen Kwok +1
The standard Euler discretization schemes for numerical option pricing under stochastic volatility models are known to exhibit high biases and potential unreliability. The alternat…
q-fin.CP2026
Efficient simulation schemes for pricing options under the Ornstein--Uhlenbeck driven stochastic volatility model
Congxin He, Yue Kuen Kwok
We develop an efficient Monte Carlo simulation scheme for pricing options under the Ornstein-Uhlenbeck driven stochastic volatility model via the operator splitting approach. With…
q-fin.MF2026
Stochastic Mortality Model with Fractional Lévy Dynamics
Congxin He, Lilian Hu, Yue Kuen Kwok +1
A substantial body of empirical evidence suggests that stochastic mortality models ignoring long range dependence tend to underestimate life expectancy, which may lead to profound…