Solution Behavior of Heston Model Using Impression Matrix Norm

DOI10.1007/978-3-319-06923-4_20zbMath1319.65008OpenAlexW34678507MaRDI QIDQ5265320

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) 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) Auctions, bargaining, bidding and selling, and other market models (91B26) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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