A robust spectral method for solving Heston’s model

dc.contributor.authorNgounda, E.
dc.contributor.authorPatidar, Kailash C.
dc.contributor.authorPindza, E.
dc.date.accessioned2017-12-04T11:59:04Z
dc.date.available2017-12-04T11:59:04Z
dc.date.issued2014
dc.description.abstractIn this paper, we consider the Heston’s volatility model (Heston in Rev. Financ. Stud. 6: 327–343, 1993]. We simulate this model using a combination of the spectral collocation method and the Laplace transforms method. To approximate the two dimensional PDE, we construct a grid which is the tensor product of the two grids, each of which is based on the Chebyshev points in the two spacial directions. The resulting semi-discrete problem is then solved by applying the Laplace transform method based on Talbot’s idea of deformation of the contour integral (Talbot in IMA J. Appl. Math. 23(1): 97–120, 1979).en_US
dc.identifier.citationEgounda, E. et al. (2014). A robust spectral method for solving Heston’s model. Journal of Optimization Theory and Application, 161: 164 – 178en_US
dc.identifier.issn0022-3239
dc.identifier.urihttp://dx.doi.org/10.1007/s10957-013-0284-x
dc.identifier.urihttp://hdl.handle.net/10566/3294
dc.language.isoenen_US
dc.privacy.showsubmitterFALSE
dc.publisherSpringer Verlagen_US
dc.rightsThis is the author-version of the article published online at: http://dx.doi.org/10.1007/s10957-013-0284-x
dc.status.ispeerreviewedTRUE
dc.subjectHeston’s volatility modelen_US
dc.subjectSpectral methodsen_US
dc.subjectLaplace transformen_US
dc.subjectStochastic volatilityen_US
dc.titleA robust spectral method for solving Heston’s modelen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Ngounda_A-Robust_2014_____.pdf
Size:
1.68 MB
Format:
Adobe Portable Document Format
Description:
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description: