The iVi scheme simulates the integrated square-root process via an Inverse Gaussian law, preserving non-negativity and first moments, and shows high accuracy in Heston tests with as few as one time step.
High order discretization schemes for the CIR process: application to affine term structure and H eston models
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Simulation of square-root processes made simple: applications to the Heston model
The iVi scheme simulates the integrated square-root process via an Inverse Gaussian law, preserving non-negativity and first moments, and shows high accuracy in Heston tests with as few as one time step.