The Heston Riemannian distance function

DOI10.1016/j.matpur.2013.06.004zbMath1312.91097arXiv1302.2337OpenAlexW2017158116WikidataQ115343566 ScholiaQ115343566MaRDI QIDQ2436820

Peter Laurence, Archil Gulisashvili

Publication date: 27 February 2014

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.2337

zbMATH Keywords

Heston modelLegendre-Fenchel transformGrushin planeLimiting cumulant generating function

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Special Riemannian manifolds (Einstein, Sasakian, etc.) (53C25) Sub-Riemannian geometry (53C17)

Related Items (4)

The Gärtner-Ellis Theorem, Homogenization, and Affine Processes ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES ⋮ FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES ⋮ Distance to the line in the Heston model

Cites Work

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• Regularity of the free boundary for the porous medium equation
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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Varadhan estimates without probability: lower bound
• Diffusion processes in a small time interval

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