All

What are you looking for?

All
Projects
Results
Organizations

Quick search

  • Projects supported by TA ČR
  • Excellent projects
  • Projects with the highest public support
  • Current projects

Smart search

  • That is how I find a specific +word
  • That is how I leave the -word out of the results
  • “That is how I can find the whole phrase”

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

  • Czech description

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

  • e-ISSN

  • 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