On non-uniqueness of solutions to degenerate parabolic equations in the context of option pricing in the Heston model

Ruslan R. Boyko

Papers from arXiv.org

Abstract: It is known that the price of call options in the Heston model is determined in a non-unique way. In this paper, this problem is analyzed from the point of view of the existing mathematical theory of uniqueness classes for degenerate parabolic equations. For the special case of degeneracy, a new example is constructed demonstrating the accuracy of the uniqueness theorem for a solution in the class of functions with sublinear growth at infinity.

Date: 2025-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2511.11288 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:2511.11288

Access Statistics for this paper

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