Uncertainty quantification and Heston model

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

Use this link to cite:

http://hdl.handle.net/2183/38160

Uncertainty quantification and Heston model

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Suarez_Taboada_Maria_2018_Uncertainty_quantification_and_Heston_model.pdf (1.65 MB)

Identifiers

URI: http://hdl.handle.net/2183/38160

DOI: 10.1186/s13362-018-0047-2

Publication date

2018-07

Authors

Suárez-Taboada, M.

Witteveen, Jeroen A. S.

Grzelak, Lech

Oosterlee, Cornelis

Bibliographic citation

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

Abstract

[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.