Reduced-order modeling for Heston stochastic volatility model
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discontinuous Galerkin methoddynamic mode decompositionHeston modeloption pricingproper orthogonal decompositionreduced order modeling
Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A reduced basis for option pricing
- ADI finite difference schemes for option pricing in the Heston model with correlation
- Discontinuous Galerkin Methods for Solving Elliptic and Parabolic Equations
- Dynamic mode decomposition for financial trading strategies
- Dynamic mode decomposition of numerical and experimental data
- Galerkin proper orthogonal decomposition methods for parabolic problems
- Hamiltonian Systems and Transformation in Hilbert Space
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- scientific article; zbMATH DE number 2171415 (Why is no real title available?)
- Inverse problems for generalized quasi-variational inequalities with application to elliptic mixed boundary value systems
- Mathematical methods for foreign exchange. A financial engineer's approach
- Nonlinear Quasi-hemivariational Inequalities: Existence and Optimal Control
- Numerical pricing of options using high-order compact finite difference schemes
- On dynamic mode decomposition: theory and applications
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Pricing futures by deterministic methods
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
- Variants of dynamic mode decomposition: boundary condition, Koopman, and Fourier analyses
- Well-Posedness, Optimal Control, and Sensitivity Analysis for a Class of Differential Variational-Hemivariational Inequalities
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