Hyperbolic symmetrization of Heston type diffusion

DOI10.1007/s10690-019-09269-1zbMath1422.91702OpenAlexW2912850301WikidataQ128480775 ScholiaQ128480775MaRDI QIDQ2326982

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

symmetrizationhyperbolic spacenumerical simulationHeston modelEuler-Maruyama scheme

Mathematics Subject Classification ID

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

Related Items (2)

A numerical scheme for expectations with first hitting time to smooth boundary ⋮ Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\)

Cites Work

• A numerical scheme based on semi-static hedging strategy
• Symmetrization associated with hyperbolic reflection principle
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• On a symmetrization of diffusion processes

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