Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm
From MaRDI portal
Publication:2515097
DOI10.1016/j.cam.2014.12.020zbMath1305.65014OpenAlexW2038345703MaRDI QIDQ2515097
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
Heston modelMilstein methodstochastic Runge-Kutta methodnumerical solutions of stochastic differential equations3-dimensional matrix normimpression matrix norm
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Numerical solution of SDE through computer experiments. Including floppy disk
- Numerical solutions of stochastic differential equations -- implementation and stability issues
- Two singular diffusion problems
- Continuous Markov processes and stochastic equations
- A Theory of the Term Structure of Interest Rates
- Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables
- Approximate Integration of Stochastic Differential Equations
- Solution Behavior of Heston Model Using Impression Matrix Norm
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations