Abstract
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 introduced and parameters involved 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.
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Acknowledgements
This paper has been ERCIM “Alain Bensoussan Fellowship Programme” and partially funded by MCINN (Project MTM2010–21135–C02-01)
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Suárez-Taboada, M., Witteveen, J.A.S., Grzelak, L.A., Oosterlee, C.W. (2017). Uncertainty Quantification and Heston Model. In: Quintela, P., et al. Progress in Industrial Mathematics at ECMI 2016. ECMI 2016. Mathematics in Industry(), vol 26. Springer, Cham. https://doi.org/10.1007/978-3-319-63082-3_22
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DOI: https://doi.org/10.1007/978-3-319-63082-3_22
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