Uncertainty quantification and Heston model

Journal of Mathematics in Industry

Jeroen A. S. Witteveen¹  Cornelis W. Oosterlee²  Lech A. Grzelak²  María Suárez-Taboada³ 

[1] CWI—Center for Mathematics and Computer Science;DIAM, Delft University of Technology;Department of Mathematics and CITIC, University of A Coruña;

关键词: Stochastic Collocation;    Uncertainty quantification;    Implied volatility;    Heston model;   

DOI  :  10.1186/s13362-018-0047-2

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown