A robust spectral method for solving Heston’s model
| dc.contributor.author | Ngounda, E. | |
| dc.contributor.author | Patidar, Kailash C. | |
| dc.contributor.author | Pindza, E. | |
| dc.date.accessioned | 2017-12-04T11:59:04Z | |
| dc.date.available | 2017-12-04T11:59:04Z | |
| dc.date.issued | 2014 | |
| dc.description.abstract | In 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.citation | Egounda, E. et al. (2014). A robust spectral method for solving Heston’s model. Journal of Optimization Theory and Application, 161: 164 – 178 | en_US |
| dc.identifier.issn | 0022-3239 | |
| dc.identifier.uri | http://dx.doi.org/10.1007/s10957-013-0284-x | |
| dc.identifier.uri | http://hdl.handle.net/10566/3294 | |
| dc.language.iso | en | en_US |
| dc.privacy.showsubmitter | FALSE | |
| dc.publisher | Springer Verlag | en_US |
| dc.rights | This is the author-version of the article published online at: http://dx.doi.org/10.1007/s10957-013-0284-x | |
| dc.status.ispeerreviewed | TRUE | |
| dc.subject | Heston’s volatility model | en_US |
| dc.subject | Spectral methods | en_US |
| dc.subject | Laplace transform | en_US |
| dc.subject | Stochastic volatility | en_US |
| dc.title | A robust spectral method for solving Heston’s model | en_US |
| dc.type | Article | en_US |