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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
