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Pitfalls of numerical integration in stochastic volatility models

Citace:
DANĚK, J., POSPÍŠIL, J. Pitfalls of numerical integration in stochastic volatility models. Centre de Recerca Matematica, Barcelona, Španělsko, 2016.
Druh: PŘEDNÁŠKA, POSTER
Jazyk publikace: eng
Anglický název: Pitfalls of numerical integration in stochastic volatility models
Rok vydání: 2016
Autoři: Doc. Ing. Josef Daněk Ph.D. , Ing. Jan Pospíšil Ph.D. ,
Abstrakt EN: In mathematical finance, a~process of calibrating stochastic volatility (SV) option pricing models to real market data involves a~numerical calculation of integrals that depend on several model parameters. This optimization task consists of large number of integral evaluations with high precision and low computational time requirements. However, for some model parameters, adaptive quadrature algorithms fail to meet these requirements. We can observe an~enormous increase in function evaluations, serious precision problems as well as a~significant increase of computational time. In this contribution we compare several numerical quadratures for typical SV models and different parameter values and give some recommendations how to solve the raised issues.
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