Solution behavior of Heston model using impression matrix norm

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

Authors Ahmet Duran, Burhaneddin İzgi

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)

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