Due to the presence of stochastic volatility dynamics, the Fong–Vasicek (FV) short rate model is more complex but also more realistic than the classical Vasicek version. To enhance the numerical tractability of the FV model for the calculation of bond option prices, we suggest using the Heath–Platen (HP) estimator, which performs excellently in the related Heston stochastic volatility model. We show that the HP estimator reduces the variance, and thus the size, of confidence intervals dramatically compared with a crude Monte Carlo estimation, which leads to a drastic speed-up in price calculations across different realistic parameter sets.

中文翻译：

---

Heath-Platen 估计量在 Fong-Vasicek 短期利率模型中的应用

由于存在随机波动动态，Fong-Vasicek (FV) 短期利率模型比经典的 Vasicek 版本更复杂，但也更现实。为了提高 FV 模型在计算债券期权价格时的数值易处理性，我们建议使用 Heath-Platen (HP) 估计器，它在相关的 Heston 随机波动率模型中表现出色。我们表明，与粗略的蒙特卡罗估计相比，HP 估计器显着降低了方差，从而降低了置信区间的大小，这导致了跨不同现实参数集的价格计算的显着加速。