Likelihood Approximation on Heston model n=200, Δ=1, Ntest=100 19
0.44Relative Error (log-lh)NF
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| NF2026.06 | 0.44 | 0.257 | 3.9 | 0.1 | |
| Itô-TaylorExpansion order=4th order2026.06 | 4.41 | 3.232 | 53.9 | 1.35 | |
| A.-S.Expansion order=2nd order2026.06 | 19.34 | 4.335 | 71.4 | 3.064 |