Spot inversion in the Heston model

Abstract

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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Last time updated on 20/08/2013

This paper was published in Diposit Digital de Documents de la UAB.

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