Some PDE results in Heston model with applications

Edoardo Lombardo

Papers from arXiv.org

Abstract: We present here some results for the PDE related to the logHeston model. We present different regularity results and prove a verification theorem that shows that the solution produced via the Feynman-Kac theorem is the unique viscosity solution for a wide choice of initial data (even discontinuous) and source data. In addition, our techniques do not use Feller's condition at any time. In the end, we prove a convergence theorem to approximate this solution by means of a hybrid (finite differences/tree scheme) approach.

Date: 2025-04
New Economics Papers: this item is included in nep-dcm
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