Some PDE results in Heston model with applications
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866909595961655296 |
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| author | Lombardo, Edoardo |
| author_facet | Lombardo, Edoardo |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_19859 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Some PDE results in Heston model with applications Lombardo, Edoardo Analysis of PDEs Numerical Analysis Computational Finance 35K65, 60H35, 65C30 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. |
| title | Some PDE results in Heston model with applications |
| topic | Analysis of PDEs Numerical Analysis Computational Finance 35K65, 60H35, 65C30 |
| url | https://arxiv.org/abs/2504.19859 |