Reduced-Order modeling for Heston stochastic volatility model
Hacettepe Journal of Mathematics and StatisticsIn this paper, we compare the intrusive proper orthogonal decomposition (POD) with Galerkin projection and the data-driven dynamic mode decomposition (DMD), for Heston's option pricing model. The full order model is obtained by discontinuous Galerkin discretization in space and backward Euler in time.
Sinem Kozpınar +2 more
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Neural network-based pricing of high-dimensional Bermudan basket options under stochastic volatility
Networks and Heterogeneous MediaPricing high-dimensional basket options poses significant challenges, especially when dealing with nonlinear payoffs. Previous research has demonstrated the effectiveness of neural networks in pricing Bermudan basket call options, particularly under the ...
Bjørn André Aaslund +3 more
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Numerical Solution of Heston-Hull-White Three-Dimensional PDE with a High Order FD Scheme
Mathematics, 2019 A new numerical method for tackling the three-dimensional Heston−Hull−White partial differential equation (PDE) is proposed. This PDE has an application in pricing options when not only the asset price and the volatility but also the risk ...
Malik Zaka Ullah
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On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
Journal of Probability and Statistics, 2014 This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast:
Halim Zeghdoudi +2 more
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A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model. [PDF]
Comput Econ, 2023 Yoon Y, Kim JH.
europepmc +1 more source
The Derivation of a Multiquadric Variant Solver for the Three-Dimensional Heston-Hull-White PDE
AxiomsThe Heston-Hull-White (HHW) model is a generalization of the classical Heston approach that incorporates stochastic interest rates, making it a more accurate representation of financial markets.
Shuai Wang +3 more
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On an improved computational solution for the 3D HCIR PDE in finance
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2019 The aim of this work is to tackle the three–dimensional (3D) Heston– Cox–Ingersoll–Ross (HCIR) time–dependent partial differential equation (PDE) computationally by employing a non–uniform discretization and gathering the finite difference (FD) weighting
Soleymani Fazlollah +2 more
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Volatility Is Log-Normal—But Not for the Reason You Think
Risks, 2018 It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-
Martin Tegnér, Rolf Poulsen
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Approximation Formula for Option Prices under Rough Heston Model and Short-Time Implied Volatility Behavior [PDF]
, 2020 Siow Woon Jeng, Adem Kılıçman
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Supervised Machine Learning with Control Variates for American Option Pricing
Foundations of Computing and Decision Sciences, 2018 In this paper, we make use of a Bayesian (supervised learning) approach in pricing American options via Monte Carlo simulations. We first present Gaussian process regression (Kriging) approach for American options pricing and compare its performance in ...
Mu Gang +3 more
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