Uncertainty quantification and Heston model

Uncertainty quantification and Heston model

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...

Full description

Bibliographic Details
Main Authors: María Suárez-Taboada, Jeroen A. S. Witteveen, Lech A. Grzelak, Cornelis W. Oosterlee
Format: Article
Language:English
Published: SpringerOpen 2018-07-01
Series:Journal of Mathematics in Industry
Subjects:
Stochastic Collocation
Uncertainty quantification
Implied volatility
Heston model
Online Access:http://link.springer.com/article/10.1186/s13362-018-0047-2

Internet

http://link.springer.com/article/10.1186/s13362-018-0047-2

Similar Items