Some PDE results in Heston model with applications
Some PDE results in Heston model with applications ArXiv ID: 2504.19859 “View on arXiv” Authors: Edoardo Lombardo 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. ...