Valuation of Options under Heston Stochastic Volatility Model Using Wavelets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F18%3A00006298" target="_blank" >RIV/46747885:24510/18:00006298 - isvavai.cz</a>
Result on the web
<a href="https://ieeexplore.ieee.org/document/8326808" target="_blank" >https://ieeexplore.ieee.org/document/8326808</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/MCSI.2017.12" target="_blank" >10.1109/MCSI.2017.12</a>
Alternative languages
Result language
angličtina
Original language name
Valuation of Options under Heston Stochastic Volatility Model Using Wavelets
Original language description
The paper is concerned with option pricing using the Heston stochastic volatility model. The Heston model is represented by parabolic boundary value problem. We use theta scheme for semidiscretization in time and we propose an adaptive wavelet method for solving the boundary value problem on the given time level. Furthermore, we construct a quadratic spline wavelet basis that is adapted to homogeneous Dirichlet boundary conditions on the part of the boundary and Neumann boundary conditions on the remaining part. The main advantage of the method is that the approximate solution is represented by small number of parameters. A numerical example is presented for a European call option.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
—
OECD FORD branch
10102 - Applied mathematics
Result continuities
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)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
2017 FOURTH INTERNATIONAL CONFERENCE ON MATHEMATICS AND COMPUTERS IN SCIENCES AND IN INDUSTRY (MCSI)
ISBN
978-1-5386-2820-1
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
16-20
Publisher name
IEEE
Place of publication
NEW YORK, USA
Event location
Corfu, GREECE
Event date
Jan 1, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000452189900003