Reduced-Order modeling for Heston stochastic volatility model

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dc.authoridKarasozen, Bulent/0000-0003-1037-5431
dc.authoridUzunca, Murat/0000-0001-5262-063X
dc.contributor.authorKozpinar, Sinem
dc.contributor.authorUzunca, Murat
dc.contributor.authorKarasozen, Bulent
dc.date.accessioned2025-03-23T19:30:06Z
dc.date.available2025-03-23T19:30:06Z
dc.date.issued2024
dc.departmentSinop Üniversitesi
dc.description.abstractIn 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.
dc.identifier.doi10.15672/hujms.1066143
dc.identifier.endpage1528
dc.identifier.issn2651-477X
dc.identifier.issue6
dc.identifier.scopus2-s2.0-85215296475
dc.identifier.scopusqualityQ2
dc.identifier.startpage1515
dc.identifier.urihttps://doi.org/10.15672/hujms.1066143
dc.identifier.urihttps://hdl.handle.net/11486/5012
dc.identifier.volume53
dc.identifier.wosWOS:001385922500002
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherHacettepe Univ, Fac Sci
dc.relation.ispartofHacettepe Journal of Mathematics and Statistics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WOS_20250323
dc.subject. option pricing
dc.subjectHeston model
dc.subjectdiscontinuous Galerkin method
dc.subjectproper orthogonal decomposition
dc.subjectreduced-order modeling
dc.subjectdynamic mode decomposition
dc.titleReduced-Order modeling for Heston stochastic volatility model
dc.typeArticle

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