Hyperbolic Symmetrization of Heston Type Diffusion

Springer Science and Business Media LLC - Tập 26 Số 3 - Trang 355-364 - 2019
Yuuki Ida1, Tsuyoshi Kinoshita2
1Department of Mathematical Sciences, Ritsumeikan University, Kusatsu, Japan
2Graduate School of Science and Engineering, Ritsumeikan University, Kusatsu, Japan

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Tài liệu tham khảo

Akahori, J., & Imamura, Y. (2014). On a symmetrization of diffusion processes. Quantitative Finance, 14(7), 1211–1216.

Carr, P., & Lee, R. (2009). Put-call symmetry: Extensions and applications. Mathematical Finance, 19(4), 523–560.

Ida, Y., Kinoshita, T., & Matsumoto, T. (2018). Symmetrization associated with hyperbolic reflection principle. Pacific Journal of Mathematics for Industry, 10, 1.

Imamura, Y., Ishigaki, Y., & Okumura, T. (2014). A numerical scheme based on semi-static hedging strategy. Monte Carlo Methods and Applications, 20(4), 223–235.