Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm

DOI10.1016/J.CAM.2014.12.020MaRDI QIDQ2515097zbMATH OpenOpenAlexFDO

Authors Ahmet Duran, Burhaneddin İzgi

Publication date 11 February 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2014.12.020

zbMATH Keywords

3-dimensional matrix normHeston modelimpression matrix normMilstein methodnumerical solutions of stochastic differential equationsstochastic Runge-Kutta method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Stochastic models in economics (91B70) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Approximate Integration of Stochastic Differential Equations
• Continuous Markov processes and stochastic equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• scientific article; zbMATH DE number 46153 (Why is no real title available?)
• scientific article; zbMATH DE number 1012640 (Why is no real title available?)
• Numerical solution of SDE through computer experiments. Including floppy disk
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables
• Solution behavior of Heston model using impression matrix norm
• The pricing of options and corporate liabilities
• Two singular diffusion problems

Cited in

(3)

• Solution behavior of Heston model using impression matrix norm
• A holistic matrix norm-based alternative solution method for Markov reward games
• 3D extreme value analysis for stock return, interest rate and speed of mean reversion

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