Solution behavior of Heston model using impression matrix norm

DOI10.1007/978-3-319-06923-4_20MaRDI QIDQ5265320zbMATH OpenOpenAlexFDO

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

3-dimensional matrix normHeston modelimpression matrix normmarket conditionMilstein methodstochastic differential equationsstock market condition

Mathematics Subject Classification ID

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

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

Cited in

(2)

• An alternative form used to calibrate the Heston option pricing model
• Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm

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)