Group Quantization and Mellin Representations of the Heston Model

Santiago Garcia

Papers from arXiv.org

Abstract: We construct a lifted local Lie groupoid formulation of the Heston stochastic-volatility model and use it to give a geometric interpretation of its affine-transform structure. The construction extends the Group Quantization framework previoulsy applied to quadratic financial diffusion models. The purpose of this paper is not to propose a new Heston pricing formula. The contribution is geometric: the Heston pricing operator in coordinate space and the Riccati equations in momentum space arise from two representations of the same lifted local groupoid construction. The usual characteristic-function and Riccati formulas are recovered.

Date: 2026-06
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2606.13992 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2606.13992

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().