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Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing

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Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing

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Company Rossi, R.; Jódar Sánchez, LA.; El-Fakharany, M.; Casabán Bartual, MC. (2013). Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing. Abstract and Applied Analysis. 2013:1-11. https://doi.org/10.1155/2013/246724

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Metadatos del ítem

Título: Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing
Autor: Company Rossi, Rafael Jódar Sánchez, Lucas Antonio El-Fakharany, Mohamed Casabán Bartual, Mª Consuelo
Entidad UPV: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Fecha difusión:
Resumen:
[EN] This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, twodimensional convection-diffusion reaction equation. Firstly, the mixed spatial derivative ...[+]
Palabras clave: Stochastic volatility
Derechos de uso: Reconocimiento (by)
Fuente:
Abstract and Applied Analysis. (issn: 1085-3375 )
DOI: 10.1155/2013/246724
Editorial:
Hindawi Publishing Corporation
Versión del editor: http://dx.doi.org/10.1155/2013/246724
Código del Proyecto:
info:eu-repo/grantAgreement/MICINN//DPI2010-20891-C02-01/ES/MODELIZACION Y METODOS NUMERICOS, ALEATORIOS Y DETERMINISTAS, PARA EL FILTRADO DE PARTICULAS DIESEL EN MOTORES DE COMBUSTION INTERNA SOBREALIMENTADOS/
info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/
Agradecimientos:
This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN Program under Grant Agreement no. 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and ...[+]
Tipo: Artículo

References

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Heston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2), 327-343. doi:10.1093/rfs/6.2.327

Pascucci, A. (2011). PDE and Martingale Methods in Option Pricing. Bocconi & Springer Series. doi:10.1007/978-88-470-1781-8 [+]
HULL, J., & WHITE, A. (1987). The Pricing of Options on Assets with Stochastic Volatilities. The Journal of Finance, 42(2), 281-300. doi:10.1111/j.1540-6261.1987.tb02568.x

Heston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2), 327-343. doi:10.1093/rfs/6.2.327

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Casabán, M.-C., Company, R., Jódar, L., & Pintos, J.-R. (2011). Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives. Computers & Mathematics with Applications, 61(8), 1951-1956. doi:10.1016/j.camwa.2010.08.009

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