Wavelet analytical method on the Heston option pricing model

	Wavelet analytical method on the Heston option pricing model
International Journal of Nonlinear Analysis and Applications
مقاله 15، دوره 13، شماره 2، مهر 2022، صفحه 151-158 اصل مقاله (457.2 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.24147.2681
نویسندگان
Fereshteh Goldoust^* ¹؛ Jafar Biazar²
¹Department of Applied Mathematics, Islamic Azad University, Bandar Anzali Branch, Anzali, Iran
²Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan 41335-1914,Rasht, Guilan, Iran
چکیده
In this paper, the Heston partial differential equation option pricing model is considered and the Legendre wavelet method (LWM) is used to solve this equation. The attributes of Legendre wavelets are used to reduce the PDEs problem into the solution of the ODEs system. The wavelet base is used in approximation due to its simplicity and efficiency. The method of creating Legendre wavelets and their main properties were briefly mentioned. Some numerical schemes have been compared with the LWM in the result.
کلیدواژه‌ها
Keywords: partial and stochastic differential equation؛ Heston model؛ Legendre wavelet method
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