Solution Behavior of Heston Model Using Impression Matrix Norm

Abstract

We are interested in the behavior of solutions for several stochastic differential equations such as Heston model. We focus on the numerical solutions via Milstein method for different stock market conditions. We examine the advantages and limitations of the model. Moreover, we introduce 3-dimensional matrix norms. Furthermore, we define market impression matrix norm as an application to the 3-dimensional matrix norms. Later, we perform simulations for various parameters.