Year: 2024
Author: Wenjia Xie, Zhongyi Huang
East Asian Journal on Applied Mathematics, Vol. 14 (2024), Iss. 2 : pp. 418–450
Abstract
From the Black-Scholes option pricing model, this work evaluates the evolution of the mathematical modelling into the double stochastic volatility model that studies the optimization performance in partial differential equation (PDE) methods. This paper focuses on the calibration and numerical methodology processes to derive the comparison of the Heston and the double Heston models to design a more efficient numerical iterative splitting method. Through Li and Huang’s iterative splitting method, the numerical results conclude that the mixed method reduces the overall computational cost and improves the convergence of the iterative process while maintaining the simplicity, flexibility and interpretability of PDE methods.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.2022-356.180923
East Asian Journal on Applied Mathematics, Vol. 14 (2024), Iss. 2 : pp. 418–450
Published online: 2024-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 33
Keywords: Iterative splitting asymptotic expansion calibration stochastic volatility.