Numerical Solution of the Heston Stocastic Volatility Model (original) (raw)
This paper has considered the numerical solution of the Heston stochastic volatility model (HSVM) using the Elzaki transform method (ETM). The proposed method seeks the approximate solution of the HSVM by implementing its properties on the HSVM. The ETM proposes the solution as a rapid convergent series that represents the precise interpretation of the HSVM in real life situations. Also, the reckless interest rate is choice as -2.01 in correspondence with [4]. Numerical evidences were obtained with the help of Maple 18 software, and are compared with the homotopy perturbation method (HPM) and variational iteration method (VIM) found in the literature [4]
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