Hyperbolic symmetrization of Heston type diffusion

DOI10.1007/S10690-019-09269-1MaRDI QIDQ2326982zbMATH OpenOpenAlexWikidataFDO

Authors Yuuki Ida, Tsuyoshi Kinoshita

Publication date 11 October 2019

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-019-09269-1

zbMATH Keywords

Euler-Maruyama schemeHeston modelhyperbolic spacenumerical simulationsymmetrization

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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Cited in

(5)

• A numerical scheme for expectations with first hitting time to smooth boundary
• Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\)
• Symmetrization associated with hyperbolic reflection principle
• The Heston Riemannian distance function
• On a symmetrization of diffusion processes

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