TY - JOUR
T1 - Uncertainty quantification and Heston model
AU - Suárez-Taboada, María
AU - Witteveen, Jeroen A.S.
AU - Grzelak, Lech A.
AU - Oosterlee, Cornelis W.
PY - 2018
Y1 - 2018
N2 - 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 and involved parameters 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.
AB - 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 and involved parameters 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.
KW - Heston model
KW - Implied volatility
KW - Stochastic Collocation
KW - Uncertainty quantification
UR - http://www.scopus.com/inward/record.url?scp=85049564306&partnerID=8YFLogxK
U2 - 10.1186/s13362-018-0047-2
DO - 10.1186/s13362-018-0047-2
M3 - Article
AN - SCOPUS:85049564306
SN - 1612-3956
VL - 8
SP - 1
EP - 12
JO - Mathematics in Industry
JF - Mathematics in Industry
IS - 1
ER -