Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm

Abstract

We study the behavior of solutions for stochastic differential equations such as Heston stochastic volatility model. We examine the numerical solutions using Euler Maruyama, Milstein and stochastic Runge-Kutta methods to investigate whether there is a role of the methods for different volatility cases or not, related to the impact of cumulative errors on… (More)
DOI: 10.1016/j.cam.2014.12.020

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