In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, has been applied throughout this work in order to compute the propagation of the uncertainty from the parameters of the model to the output. The well-known Heston model is considered and involved parameters in the Feller condition are taken as uncertain due to their important influence on the output. Numerical results where the Feller condition is satisfied or not are shown as well as a numerical example with real market data.

中文翻译：

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不确定度量化和Heston模型

在本文中，我们通过不确定性量化研究了涉及Heston模型的参数的影响。为了计算不确定性从模型参数到输出的传播，已经在整个工作中应用了例如用于计算流体动力学的随机配置方法。考虑了众所周知的Heston模型，由于对输出的重要影响，Feller条件下的相关参数被认为是不确定的。显示了满足或不满足Feller条件的数值结果，以及带有实际市场数据的数值示例。