Solution behavior of Heston model using impression matrix norm

Ahmet Duran; Burhaneddin Izgi

doi:10.1007/978-3-319-06923-4_20

Solution behavior of Heston model using impression matrix norm

Ahmet Duran^*
, Burhaneddin Izgi

^*Bu çalışma için yazışmadan sorumlu yazar

Matematik Bölümü

Araştırma çıktısı: Kitap/Rapor/Konferans Bildirisinde Bölüm › Konferans katkısı › Hakem

2 Atıf (Scopus)

Özet

We are interested in the behavior of solutions for several stochastic differential equations such as Heston model. We focus on the numerical solutions via Milstein method for different stock market conditions. We examine the advantages and limitations of the model. Moreover, we introduce 3-dimensional matrix norms. Furthermore, we define market impression matrix norm as an application to the 3-dimensional matrix norms. Later, we perform simulations for various parameters.

Orijinal dil	İngilizce
Ana bilgisayar yayını başlığı	Advances in Applied Mathematics
Editörler	Ali R. Ansari
Yayınlayan	Springer New York LLC
Sayfalar	215-221
Sayfa sayısı	7
ISBN (Elektronik)	9783319069227
DOI'lar	https://doi.org/10.1007/978-3-319-06923-4_20
Yayın durumu	Yayınlandı - 2014
Etkinlik	Gulf International Conference on Applied Mathematics, GICAM 2013 - Kuwait, Kuwait Süre: 19 Kas 2013 → 21 Kas 2013

Yayın serisi

Adı	Springer Proceedings in Mathematics and Statistics
Hacim	87
ISSN (Basılı)	2194-1009
ISSN (Elektronik)	2194-1017

???event.eventtypes.event.conference???

???event.eventtypes.event.conference???	Gulf International Conference on Applied Mathematics, GICAM 2013
Ülke/Bölge	Kuwait
Şehir	Kuwait
Periyot	19/11/13 → 21/11/13

Bibliyografik not

Publisher Copyright:
© Springer International Publishing Switzerland 2014.

Belgeye Erişim

10.1007/978-3-319-06923-4_20

Diğer Dosyalar ve Linkler

Link to publication in Scopus

Alıntı Yap

@inproceedings{51e9ccfb48c64d1baf3285cbe06b9cec,

title = "Solution behavior of Heston model using impression matrix norm",

abstract = "We are interested in the behavior of solutions for several stochastic differential equations such as Heston model. We focus on the numerical solutions via Milstein method for different stock market conditions. We examine the advantages and limitations of the model. Moreover, we introduce 3-dimensional matrix norms. Furthermore, we define market impression matrix norm as an application to the 3-dimensional matrix norms. Later, we perform simulations for various parameters.",

keywords = "3-dimensional matrix norm, Heston model, Impression matrix norm, Numerical solutions of stochastic differential equations",

author = "Ahmet Duran and Burhaneddin Izgi",

note = "Publisher Copyright: {\textcopyright} Springer International Publishing Switzerland 2014.; Gulf International Conference on Applied Mathematics, GICAM 2013 ; Conference date: 19-11-2013 Through 21-11-2013",

year = "2014",

doi = "10.1007/978-3-319-06923-4\_20",

language = "English",

series = "Springer Proceedings in Mathematics and Statistics",

publisher = "Springer New York LLC",

pages = "215--221",

editor = "Ansari, \{Ali R.\}",

booktitle = "Advances in Applied Mathematics",

}

Duran, A & Izgi, B 2014, Solution behavior of Heston model using impression matrix norm. in AR Ansari (ed.), Advances in Applied Mathematics. Springer Proceedings in Mathematics and Statistics, hac. 87, Springer New York LLC, pp. 215-221, Gulf International Conference on Applied Mathematics, GICAM 2013, Kuwait, Kuwait, 19/11/13. https://doi.org/10.1007/978-3-319-06923-4_20

TY - GEN

T1 - Solution behavior of Heston model using impression matrix norm

AU - Duran, Ahmet

AU - Izgi, Burhaneddin

N1 - Publisher Copyright: © Springer International Publishing Switzerland 2014.

PY - 2014

Y1 - 2014

N2 - We are interested in the behavior of solutions for several stochastic differential equations such as Heston model. We focus on the numerical solutions via Milstein method for different stock market conditions. We examine the advantages and limitations of the model. Moreover, we introduce 3-dimensional matrix norms. Furthermore, we define market impression matrix norm as an application to the 3-dimensional matrix norms. Later, we perform simulations for various parameters.

AB - We are interested in the behavior of solutions for several stochastic differential equations such as Heston model. We focus on the numerical solutions via Milstein method for different stock market conditions. We examine the advantages and limitations of the model. Moreover, we introduce 3-dimensional matrix norms. Furthermore, we define market impression matrix norm as an application to the 3-dimensional matrix norms. Later, we perform simulations for various parameters.

KW - 3-dimensional matrix norm

KW - Heston model

KW - Impression matrix norm

KW - Numerical solutions of stochastic differential equations

UR - https://www.scopus.com/pages/publications/84927616825

U2 - 10.1007/978-3-319-06923-4_20

DO - 10.1007/978-3-319-06923-4_20

M3 - Conference contribution

AN - SCOPUS:84927616825

T3 - Springer Proceedings in Mathematics and Statistics

SP - 215

EP - 221

BT - Advances in Applied Mathematics

A2 - Ansari, Ali R.

PB - Springer New York LLC

T2 - Gulf International Conference on Applied Mathematics, GICAM 2013

Y2 - 19 November 2013 through 21 November 2013

ER -

Solution behavior of Heston model using impression matrix norm

Özet

Yayın serisi

???event.eventtypes.event.conference???

Bibliyografik not

Belgeye Erişim

Diğer Dosyalar ve Linkler

Parmak izi

Alıntı Yap