Adaptive wavelet method for pricing options under the Stein-Stein stochastic volatility model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F17%3A00007364" target="_blank" >RIV/46747885:24510/17:00007364 - isvavai.cz</a>
Result on the web
<a href="https://www.ekf.vsb.cz/frpfi-history/en/2017/conference_proceedings/" target="_blank" >https://www.ekf.vsb.cz/frpfi-history/en/2017/conference_proceedings/</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Adaptive wavelet method for pricing options under the Stein-Stein stochastic volatility model
Original language description
We use the Stein-Stein stochastic volatility model for calculating the theoretical price of an option. While the Black-Scholes model assumes that the volatility of the asset is constant or a known function, the Stein-Stein model assumes that the volatility is a random process. The Stein-Stein model is represented by a parabolic equation. We employ wavelets for its efficient numerical solution, because wavelets are well-known for their compression property. It means that the representation of the solution in a wavelet basis requires a small number of coefficients and the computation of the solution with desired accuracy can be performed with the small number of parameters. We use the Crank-Nicolson scheme for the time discretization and an adaptive method with a linear spline-wavelet basis for the space discretization. Numerical examples are presented for the European put and call options.
Czech name
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Czech description
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Project
<a href="/en/project/GA16-09541S" target="_blank" >GA16-09541S: Robust numerical schemes for pricing of selected options under various market conditions</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE,
ISBN
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ISSN
2336-162X
e-ISSN
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Number of pages
8
Pages from-to
165-172
Publisher name
VSB-TECH UNIV OSTRAVA
Place of publication
OSTRAVA, CZECH REPUBLIC
Event location
Ostrava, CZECH REPUBLIC
Event date
Jan 1, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000508278200019

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