Uncertainty Quantification and Heston Model

  • María Suárez-Taboada
  • Jeroen A. S. Witteveen
  • Lech A. Grzelak
  • Cornelis W. Oosterlee
Conference paper
Part of the Mathematics in Industry book series (MATHINDUSTRY, volume 26)

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 introduced and parameters involved 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.

Notes

Acknowledgements

This paper has been ERCIM “Alain Bensoussan Fellowship Programme” and partially funded by MCINN (Project MTM2010–21135–C02-01)

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2017

Authors and Affiliations

  • María Suárez-Taboada
    • 1
  • Jeroen A. S. Witteveen
  • Lech A. Grzelak
    • 2
  • Cornelis W. Oosterlee
    • 2
  1. 1.Department of MathematicsUniversity of A CoruñaA CoruñaSpain
  2. 2.Delft University of Technology, DIAMDelftNetherlands

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