Uncertainty quantification and Heston model
Use este enlace para citar
http://hdl.handle.net/2183/38160
A non ser que se indique outra cousa, a licenza do ítem descríbese como Atribución 4.0 Internacional (CC-BY 4.0)
Coleccións
- GI-M2NICA - Artigos [74]
Metadatos
Mostrar o rexistro completo do ítemTítulo
Uncertainty quantification and Heston modelData
2018-07Cita bibliográfica
Suárez-Taboada, M., Witteveen, J.A.S., Grzelak, L.A. et al. Uncertainty quantification and Heston model. J.Math.Industry 8, 5 (2018). https://doi.org/10.1186/s13362-018-0047-2
Resumo
[Abstract]: In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, has been applied throughout this work in order to compute the propagation of the uncertainty from the parameters of the model to the output. The well-known Heston model is considered and involved parameters in the Feller condition are taken as uncertain due to their important influence on the output. Numerical results where the Feller condition is satisfied or not are shown as well as a numerical example with real market data.
Palabras chave
Stochastic collocation
Uncertainty quantification
Implied volatility
Heston model
Uncertainty quantification
Implied volatility
Heston model
Versión do editor
Dereitos
Atribución 4.0 Internacional (CC-BY 4.0)
ISSN
2190-5983