Abstract
Motivated by a practical problem arising in equity derivatives modelling, we look into boundary conditions for forward equations related to Feller-type diffusion processes. We adopt the approach of revisiting the original work of Ref. [13] and build upon some of the ideas and methods developed therein. As our main result, we present an extension (in the weak form) of the Feller boundary condition to local stochastic volatility model with the Heston variance.
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