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Stoykov 2024a - Revision history
2026-05-08T04:52:13Z
Revision history for this page on the wiki
MediaWiki 1.27.0-wmf.10
https://www.scipedia.com/wd/index.php?title=Stoykov_2024a&diff=309514&oldid=prev
JSanchez: JSanchez moved page Draft Sanchez Pinedo 899413687 to Stoykov 2024a
2024-10-23T10:38:50Z
<p>JSanchez moved page <a href="/public/Draft_Sanchez_Pinedo_899413687" class="mw-redirect" title="Draft Sanchez Pinedo 899413687">Draft Sanchez Pinedo 899413687</a> to <a href="/public/Stoykov_2024a" title="Stoykov 2024a">Stoykov 2024a</a></p>
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<td colspan='1' style="background-color: white; color:black; text-align: center;">← Older revision</td>
<td colspan='1' style="background-color: white; color:black; text-align: center;">Revision as of 10:38, 23 October 2024</td>
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JSanchez
https://www.scipedia.com/wd/index.php?title=Stoykov_2024a&diff=309513&oldid=prev
JSanchez at 10:38, 23 October 2024
2024-10-23T10:38:45Z
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<td colspan='2' style="background-color: white; color:black; text-align: center;">Revision as of 10:38, 23 October 2024</td>
</tr><tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l3" >Line 3:</td>
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<tr><td class='diff-marker'> </td><td style="background-color: #f9f9f9; color: #333333; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #e6e6e6; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f9f9f9; color: #333333; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #e6e6e6; vertical-align: top; white-space: pre-wrap;"></td></tr>
<tr><td class='diff-marker'> </td><td style="background-color: #f9f9f9; color: #333333; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #e6e6e6; vertical-align: top; white-space: pre-wrap;"><div>The Fokker-Planck partial differential equation is used to compute the probability density function of the Heston stochastic local volatility model. The solution of the Fokker Planck equation is required for the calibration of the leverage function, which plays an important role in the Heston stochastic local volatility model. The current study describes a numerical method for solving the nonlinear Fokker-Planck partial differential equation. The solution is demonstrated to converge to the one generated from the implied volatility surface by comparing call option prices.</div></td><td class='diff-marker'> </td><td style="background-color: #f9f9f9; color: #333333; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #e6e6e6; vertical-align: top; white-space: pre-wrap;"><div>The Fokker-Planck partial differential equation is used to compute the probability density function of the Heston stochastic local volatility model. The solution of the Fokker Planck equation is required for the calibration of the leverage function, which plays an important role in the Heston stochastic local volatility model. The current study describes a numerical method for solving the nonlinear Fokker-Planck partial differential equation. The solution is demonstrated to converge to the one generated from the implied volatility surface by comparing call option prices.</div></td></tr>
<tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color:black; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr>
<tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color:black; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;">== Full Paper ==</ins></div></td></tr>
<tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color:black; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"><pdf>Media:Draft_Sanchez Pinedo_899413687pap_923.pdf</pdf></ins></div></td></tr>
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JSanchez
https://www.scipedia.com/wd/index.php?title=Stoykov_2024a&diff=309511&oldid=prev
JSanchez at 10:38, 23 October 2024
2024-10-23T10:38:43Z
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<td colspan='2' style="background-color: white; color:black; text-align: center;">Revision as of 10:38, 23 October 2024</td>
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<tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color:black; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;">                                </ins></div></td></tr>
<tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color:black; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;">==Abstract==</ins></div></td></tr>
<tr><td class='diff-marker'> </td><td style="background-color: #f9f9f9; color: #333333; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #e6e6e6; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f9f9f9; color: #333333; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #e6e6e6; vertical-align: top; white-space: pre-wrap;"></td></tr>
<tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color:black; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;">The Fokker-Planck partial differential equation is used to compute the probability density function of the Heston stochastic local volatility model. The solution of the Fokker Planck equation is required for the calibration of the leverage function, which plays an important role in the Heston stochastic local volatility model. The current study describes a numerical method for solving the nonlinear Fokker-Planck partial differential equation. The solution is demonstrated to converge to the one generated from the implied volatility surface by comparing call option prices.</ins></div></td></tr>
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JSanchez
https://www.scipedia.com/wd/index.php?title=Stoykov_2024a&diff=309510&oldid=prev
JSanchez: Created blank page
2024-10-23T10:38:41Z
<p>Created blank page</p>
<p><b>New page</b></p><div></div>
JSanchez