{"title":"论两种随机波动过程下的期权定价","authors":"Wenjia Xie, Zhongyi Huang","doi":"10.4208/eajam.2022-356.180923","DOIUrl":null,"url":null,"abstract":"From the Black-Scholes option pricing model, this work evaluates the evolution of the mathematical modelling into the double stochastic volatility model that\nstudies the optimization performance in partial differential equation (PDE) methods.\nThis paper focuses on the calibration and numerical methodology processes to derive\nthe comparison of the Heston and the double Heston models to design a more efficient\nnumerical iterative splitting method. Through Li and Huang’s iterative splitting method,\nthe numerical results conclude that the mixed method reduces the overall computational\ncost and improves the convergence of the iterative process while maintaining the simplicity, flexibility and interpretability of PDE methods.","PeriodicalId":48932,"journal":{"name":"East Asian Journal on Applied Mathematics","volume":"33 1","pages":""},"PeriodicalIF":1.2000,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"On Pricing Options Under Two Stochastic Volatility Processes\",\"authors\":\"Wenjia Xie, Zhongyi Huang\",\"doi\":\"10.4208/eajam.2022-356.180923\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"From the Black-Scholes option pricing model, this work evaluates the evolution of the mathematical modelling into the double stochastic volatility model that\\nstudies the optimization performance in partial differential equation (PDE) methods.\\nThis paper focuses on the calibration and numerical methodology processes to derive\\nthe comparison of the Heston and the double Heston models to design a more efficient\\nnumerical iterative splitting method. Through Li and Huang’s iterative splitting method,\\nthe numerical results conclude that the mixed method reduces the overall computational\\ncost and improves the convergence of the iterative process while maintaining the simplicity, flexibility and interpretability of PDE methods.\",\"PeriodicalId\":48932,\"journal\":{\"name\":\"East Asian Journal on Applied Mathematics\",\"volume\":\"33 1\",\"pages\":\"\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2024-04-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"East Asian Journal on Applied Mathematics\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.4208/eajam.2022-356.180923\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATHEMATICS, APPLIED\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"East Asian Journal on Applied Mathematics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.4208/eajam.2022-356.180923","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
On Pricing Options Under Two Stochastic Volatility Processes
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.
期刊介绍:
The East Asian Journal on Applied Mathematics (EAJAM) aims at promoting study and research in Applied Mathematics in East Asia. It is the editorial policy of EAJAM to accept refereed papers in all active areas of Applied Mathematics and related Mathematical Sciences. Novel applications of Mathematics in real situations are especially welcome. Substantial survey papers on topics of exceptional interest will also be published occasionally.