The Heston stochastic volatility model in Hilbert space

DOI10.1080/07362994.2018.1461566zbMath1401.60093arXiv1706.03500OpenAlexW2964284080MaRDI QIDQ4685702

Iben Cathrine Simonsen, Fred Espen Benth

Publication date: 9 October 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.03500

zbMATH Keywords

forward pricescommodity marketsinfinite-dimensional Ornstein-Uhlenbeck processesHeston stochastic volatility

Mathematics Subject Classification ID

Random fields (60G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of functional analysis in probability theory and statistics (46N30)

Related Items (7)

Affine pure-jump processes on positive Hilbert-Schmidt operators ⋮ Independent increment processes: a multilinearity preserving property ⋮ An infinite‐dimensional affine stochastic volatility model ⋮ Infinite dimensional affine processes ⋮ Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications -- ⋮ Sensitivity analysis in the infinite dimensional Heston model ⋮ A weak law of large numbers for realised covariation in a Hilbert space setting

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