In this paper we propose a simulation algorithm for the Schöbel-Zhu (1999) model and its extension to include stochastic interest rates, the Schöbel-Zhu-Hull-White model as considered in Van Haastrecht et al. (2009). Both schemes are derived by analyzing the lessons learned from the Andersen scheme on how to avoid the so-called leaking correlation phenomenon in the simulation of the Heston (1993) model. All introduced schemes are Exponentially Ane in Expectation(EAE), which greatly facilitates the derivation of a martingale correction. In addition we study the regularity of each scheme. The numerical results indicate that our scheme consistently outperformsthe Euler scheme. For a special case of the Schöbel-Zhu model which coincides with the Heston model, our scheme performs similarly to the QE-M scheme of Andersen (2008). The results rearm that when simulating stochastic volatility models it is of the utmost importance to match the correlation between the asset price and the stochastic volatility process.

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