Uncertainty quantification and Heston model View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2018-12

AUTHORS

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

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. More... »

PAGES

5

Identifiers

URI

http://scigraph.springernature.com/pub.10.1186/s13362-018-0047-2

DOI

http://dx.doi.org/10.1186/s13362-018-0047-2

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1105327371


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