Solution behavior of Heston model using impression matrix norm

DOI10.1007/978-3-319-06923-4_20zbMATH Open1319.65008OpenAlexW34678507MaRDI QIDQ5265320FDOQ5265320

Burhaneddin İzgi, Ahmet Duran

Publication date: 23 July 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-06923-4_20

zbMATH Keywords

stochastic differential equationsHeston modelMilstein method3-dimensional matrix normimpression matrix normmarket conditionstock market condition

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (1)

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

   Recommendations

• Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm 👍 👎
• A note on the numerical resolution of Heston PDEs 👍 👎
• Finite difference and element methods for pricing options with stochastic volatility 👍 👎
• An alternative form used to calibrate the Heston option pricing model 👍 👎
• Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model 👍 👎

This page was built for publication: Solution behavior of Heston model using impression matrix norm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5265320)