Spot inversion in the Heston model
We analyse the Heston stochastic volatility model under an inversion of spot. The result is that under the appropriate measure changes the resulting process is again a Heston type process whose parameters can be explicitly determined from those of the original process. This behaviour can be interpre...
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2008 |
| País: | España |
| Institución: | Universitat Autònoma de Barcelona |
| Repositorio: | Dipòsit Digital de Documents de la UAB |
| Idioma: | inglés |
| OAI Identifier: | oai:ddd.uab.cat:44455 |
| Acceso en línea: | https://ddd.uab.cat/record/44455 |
| Access Level: | acceso abierto |
| Palabra clave: | Processos estocàstics Probabilitats |
| Sumario: | We analyse the Heston stochastic volatility model under an inversion of spot. The result is that under the appropriate measure changes the resulting process is again a Heston type process whose parameters can be explicitly determined from those of the original process. This behaviour can be interpreted as some measure of sanity of the Heston model but does not seem to be a general feature of stochastic volatility processes. |
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