Hyperbolic Symmetrization of Heston Type Diffusion
| العنوان: | Hyperbolic Symmetrization of Heston Type Diffusion |
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| المؤلفون: | Yuuki Ida, Tsuyoshi Kinoshita |
| المصدر: | Asia-Pacific Financial Markets. 26:355-364 |
| بيانات النشر: | Springer Science and Business Media LLC, 2019. |
| سنة النشر: | 2019 |
| مصطلحات موضوعية: | 050208 finance, 05 social sciences, Order (ring theory), Type (model theory), SABR volatility model, Heston model, 0502 economics and business, Symmetrization, Applied mathematics, 050207 economics, Diffusion (business), Drift coefficient, Finance, Brownian motion, Mathematics |
| الوصف: | The symmetrization of diffusion processes was originally introduced by Imamura, Ishigaki and Okumura, and was applied to pricing of barrier options. The authors of the present paper previously introduced in Ida et al. (Pac J Math Ind 10:1, 2018) a hyperbolic version of the symmetrization of a diffusion by symmetrizing drift coefficient in view of applications under a SABR model which is transformed to a hyperbolic Brownian motion with drift. In the present paper, in order to apply the hyperbolic symmetrization technique to Heston model, we introduce an extension where diffusion coefficient is also symmetrized. Some numerical results are also presented. |
| تدمد: | 1573-6946 1387-2834 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_________::767f65632a6f4e1c645e869594ddbda3 https://doi.org/10.1007/s10690-019-09269-1 |
| حقوق: | CLOSED |
| رقم الأكسشن: | edsair.doi...........767f65632a6f4e1c645e869594ddbda3 |
| قاعدة البيانات: | OpenAIRE |
Find this article in full text from Springer Verlag. | تدمد: | 15736946 13872834 |
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