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  1. Journal of Optimization Theory and Applications
  2. Journal of Optimization Theory and Applications : Volume 161
  3. Journal of Optimization Theory and Applications : Volume 161, Issue 1, April 2014
  4. A Robust Spectral Method for Solving Heston’s Model
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Journal of Optimization Theory and Applications : Volume 173
Journal of Optimization Theory and Applications : Volume 172
Journal of Optimization Theory and Applications : Volume 171
Journal of Optimization Theory and Applications : Volume 170
Journal of Optimization Theory and Applications : Volume 169
Journal of Optimization Theory and Applications : Volume 168
Journal of Optimization Theory and Applications : Volume 167
Journal of Optimization Theory and Applications : Volume 166
Journal of Optimization Theory and Applications : Volume 165
Journal of Optimization Theory and Applications : Volume 164
Journal of Optimization Theory and Applications : Volume 163
Journal of Optimization Theory and Applications : Volume 162
Journal of Optimization Theory and Applications : Volume 161
Journal of Optimization Theory and Applications : Volume 161, Issue 3, June 2014
Journal of Optimization Theory and Applications : Volume 161, Issue 2, May 2014
Journal of Optimization Theory and Applications : Volume 161, Issue 1, April 2014
Portfolio Selection: A Review
Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty
Characterization of the Value Process in Robust Efficient Hedging
Heston Model: The Variance Swap Calibration
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
Recent Developments in Robust Portfolios with a Worst-Case Approach
Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model
An Optimal Trading Rule Under a Switchable Mean-Reversion Model
A Robust Spectral Method for Solving Heston’s Model
Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options
Long-Short Portfolio Optimization Under Cardinality Constraints by Difference of Convex Functions Algorithm
Optimal Portfolio Decision Rule Under Nonparametric Characterization of the Interest Rate Dynamics
Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process
Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via Conditional Value at Risk and Difference of Convex Functions
Maximum Entropy Estimates for Risk-Neutral Probability Measures with Non-Strictly-Convex Data
Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs
Journal of Optimization Theory and Applications : Volume 160
Journal of Optimization Theory and Applications : Volume 159
Journal of Optimization Theory and Applications : Volume 158
Journal of Optimization Theory and Applications : Volume 157
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Journal of Optimization Theory and Applications : Volume 104
Journal of Optimization Theory and Applications : Volume 103
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Journal of Optimization Theory and Applications : Volume 95
Journal of Optimization Theory and Applications : Volume 94
Journal of Optimization Theory and Applications : Volume 93
Journal of Optimization Theory and Applications : Volume 92

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A Robust Spectral Method for Solving Heston’s Model

Content Provider Springer Nature Link
Author Ngounda, E. Patidar, K. C. Pindza, E.
Copyright Year 2013
Abstract In this paper, we consider the Heston’s volatility model (Heston in Rev. Financ. Stud. 6: 327–343, 1993]. We simulate this model using a combination of the spectral collocation method and the Laplace transforms method. To approximate the two dimensional PDE, we construct a grid which is the tensor product of the two grids, each of which is based on the Chebyshev points in the two spacial directions. The resulting semi-discrete problem is then solved by applying the Laplace transform method based on Talbot’s idea of deformation of the contour integral (Talbot in IMA J. Appl. Math. 23(1): 97–120, 1979).
Starting Page 164
Ending Page 178
Page Count 15
File Format PDF
ISSN 00223239
Journal Journal of Optimization Theory and Applications
Volume Number 161
Issue Number 1
e-ISSN 15732878
Language English
Publisher Springer US
Publisher Date 2013-02-22
Publisher Place Boston
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Heston’s volatility model Spectral methods Laplace transform Stochastic volatility Calculus of Variations and Optimal Control; Optimization Optimization Theory of Computation Applications of Mathematics Engineering Operations Research/Decision Theory
Content Type Text
Resource Type Article
Subject Applied Mathematics Control and Optimization Management Science and Operations Research
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