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Hyperbolic Symmetrization of Heston Type Diffusion

Author

Listed:
  • Yuuki Ida

    (Ritsumeikan University)

  • Tsuyoshi Kinoshita

    (Ritsumeikan University)

Abstract

The symmetrization of diffusion processes was originally introduced by Imamura, Ishigaki and Okumura, and was applied to pricing of barrier options. The authors of the present paper previously introduced in Ida et al. (Pac J Math Ind 10:1, 2018) a hyperbolic version of the symmetrization of a diffusion by symmetrizing drift coefficient in view of applications under a SABR model which is transformed to a hyperbolic Brownian motion with drift. In the present paper, in order to apply the hyperbolic symmetrization technique to Heston model, we introduce an extension where diffusion coefficient is also symmetrized. Some numerical results are also presented.

Suggested Citation

  • Yuuki Ida & Tsuyoshi Kinoshita, 2019. "Hyperbolic Symmetrization of Heston Type Diffusion," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 355-364, September.
    • Handle: RePEc:kap:apfinm:v:26:y:2019:i:3:d:10.1007_s10690-019-09269-1
    DOI: 10.1007/s10690-019-09269-1
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    Cited by:

    1. Yuji Hishida & Yuta Ishigaki & Toshiki Okumura, 2019. "A Numerical Scheme for Expectations with First Hitting Time to Smooth Boundary," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 553-565, December.

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