Some PDE results in Heston model with applications
Analysis of PDEs
2025-04-29 v1 Numerical Analysis
Numerical Analysis
Computational Finance
Abstract
We present here some results for the PDE related to the logHeston model. We present different regularity results and prove a verification theorem that shows that the solution produced via the Feynman-Kac theorem is the unique viscosity solution for a wide choice of initial data (even discontinuous) and source data. In addition, our techniques do not use Feller's condition at any time. In the end, we prove a convergence theorem to approximate this solution by means of a hybrid (finite differences/tree scheme) approach.
Cite
@article{arxiv.2504.19859,
title = {Some PDE results in Heston model with applications},
author = {Edoardo Lombardo},
journal= {arXiv preprint arXiv:2504.19859},
year = {2025}
}