Reduced-Order Modeling for Heston Stochastic Volatility Model
Yazarlar (3)
Dr. Öğr. Üyesi Sinem Kozpınar Başkent Üniversitesi, Türkiye
Prof. Dr. Murat UZUNCA Sinop Üniversitesi, Türkiye
Bülent Karasözen
Middle East Technical University (Metu), Türkiye
Middle East Technical University (Metu), Türkiye
| Makale Türü |
Özgün Makale
(SSCI, AHCI, SCI, SCI-Exp dergilerinde yayınlanan tam makale)
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| Dergi Adı | Hacettepe Journal of Mathematics and Statistics (Q2) | ||
| Dergi ISSN | 2651-477X Dergi Bilgileri (2024) | ||
| Dergi Tarandığı Indeksler | SCI-Expanded | ||
| Makale Dili | İngilizce | Basım Tarihi | 12-2024 |
| Cilt / Sayı / Sayfa | 53 / 6 / 1515–1528 | DOI | 10.15672/hujms.1066143 |
| Makale Linki | http://dx.doi.org/10.15672/hujms.1066143 | ||
| UAK Araştırma Alanları |
Uygulamalı Matematik
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| Özet |
| In this paper, we compare the intrusive proper orthogonal decomposition (POD) with Galerkin projection and the data-driven dynamic mode decomposition (DMD), for Heston's option pricing model. The full order model is obtained by discontinuous Galerkin discretization in space and backward Euler in time. Numerical results for butterfly spread, European and digital call options reveal that in general DMD requires more modes than the POD modes for the same level of accuracy. However, the speed-up factors are much higher for DMD than POD due to the non-intrusive nature of the DMD. |
| Anahtar Kelimeler |
| discontinuous Galerkin method | dynamic mode decomposition | Heston model | option pricing | proper orthogonal decomposition | reduced-order modeling |
BM Sürdürülebilir Kalkınma Amaçları
| Atıf Sayıları | |
| Web of Science | 2 |
| Scopus | 2 |
| Google Scholar | 2 |