Uncertainty quantification and Heston model

DOI10.1186/S13362-018-0047-2MaRDI QIDQ2311188zbMATH OpenOpenAlexWikidataFDO

Authors M. Suárez-Taboada, Jeroen A. S. Witteveen, Lech A. Grzelak, Cornelis W. Oosterlee

Publication date 10 July 2019

Published in Journal of Mathematics in Industry (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13362-018-0047-2

zbMATH Keywords

uncertainty quantificationimplied volatilitystochastic collocationHeston model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 3321507 (Why is no real title available?)
• A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A novel pricing method for European options based on Fourier-cosine series expansions
• Computational Methods for Option Pricing
• High-Order Collocation Methods for Differential Equations with Random Inputs
• Is Gauss Quadrature Better than Clenshaw–Curtis?
• On the Valuation of Asian Options by Variational Methods
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions

Cited in

(4)

• Valuation of European Options Under an Uncertain Market Price of Volatility Risk
• The Alpha‐Heston stochastic volatility model
• Uncertainty quantification of derivative instruments
• Measures of model uncertainty and calibrated option bounds

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