Hyperbolic Symmetrization of Heston Type Diffusion
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
http://link.springer.com/article/10.1007/s10690-019-09269-1/fulltext.html
Reference4 articles.
1. Akahori, J., & Imamura, Y. (2014). On a symmetrization of diffusion processes. Quantitative Finance, 14(7), 1211–1216.
2. Carr, P., & Lee, R. (2009). Put-call symmetry: Extensions and applications. Mathematical Finance, 19(4), 523–560.
3. Ida, Y., Kinoshita, T., & Matsumoto, T. (2018). Symmetrization associated with hyperbolic reflection principle. Pacific Journal of Mathematics for Industry, 10, 1.
4. Imamura, Y., Ishigaki, Y., & Okumura, T. (2014). A numerical scheme based on semi-static hedging strategy. Monte Carlo Methods and Applications, 20(4), 223–235.
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