Reduced-Order modeling for Heston stochastic volatility model
[ X ]
Tarih
2024
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Hacettepe Univ, Fac Sci
Erişim Hakkı
info:eu-repo/semantics/openAccess
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.
Açıklama
Anahtar Kelimeler
. option pricing, Heston model, discontinuous Galerkin method, proper orthogonal decomposition, reduced-order modeling, dynamic mode decomposition
Kaynak
Hacettepe Journal of Mathematics and Statistics
WoS Q Değeri
Q2
Scopus Q Değeri
Q2
Cilt
53
Sayı
6
