Computational technique for simulating variable-order fractional Heston model with application in US stock market

Computational technique for simulating variable-order fractional Heston model with application in US stock market

In this paper, a numerical technique is developed to discretize variable-order fractional Heston differential equation. The proposed strategy is followed by an optimization technology, genetic algorithm, for tuning the unknown parameters in the proposed model. The performance of the model is analyze...

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Veröffentlicht in:Mathematical Sciences 2018-12, Vol.12 (4), p.277-283
Hauptverfasser: Mostaghim, Zeinab Salamat, Moghaddam, Behrouz Parsa, Haghgozar, Hossein Samimi
Format: Artikel
Sprache:eng
Schlagworte:
Applications of Mathematics
Computer simulation
Differential equations
Genetic algorithms
Mathematical models
Mathematical research
Mathematics
Mathematics and Statistics
Original Research
Securities markets
Stock exchanges
Stock markets
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Beschreibung
Zusammenfassung:In this paper, a numerical technique is developed to discretize variable-order fractional Heston differential equation. The proposed strategy is followed by an optimization technology, genetic algorithm, for tuning the unknown parameters in the proposed model. The performance of the model is analyzed to profit and loss 500 close index from the US stock markets. Simulations illustrate the application of the proposed technique.
ISSN:2008-1359
2251-7456
DOI:10.1007/s40096-018-0267-z