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

DOI10.1016/j.cam.2014.12.020zbMath1305.65014OpenAlexW2038345703MaRDI QIDQ2515097

Burhaneddin İzgi, Ahmet Duran

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

Heston modelMilstein methodstochastic Runge-Kutta methodnumerical solutions of stochastic differential equations3-dimensional matrix normimpression matrix norm

Mathematics Subject Classification ID

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

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