a Third workshop on Nonlinear PDEs and Financial Mathematics
BTU
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V. Myrnyy

Numerical Aspects of Heston's Stochastic Volatility Model

Michael Froehner

Abstract
We discuss some details of modeling and numerical aspects of Heston's Fourier integral. For the calibration of the model we use the C-language code of L. Ingber 'ASA' (Adaptive Simulated Annealing).