Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: On the Heston Model with Stochastic Volatility: Analytic Solutions and
  Complete Markets   We study the Heston model for pricing European options on stocks with
stochastic volatility. This is a Black\--Scholes\--type equation whose spatial
domain for the logarithmic stock price $x\in \RR$ and the variance $v\in
(0,\infty)$ is the half\--plane $\HH = \RR\times (0,\infty)$. The {\it
volatility\/} is then given by $\sqrt{v}$. The diffusion equation for the price
of the European call option $p = p(x,v,t)$ at time $t\leq T$ is parabolic and
degenerates at the boundary $\partial \HH = \RR\times \{0\}$ as $v\to 0+$. The
goal is to hedge with this option against volatility fluctuations, i.e., the
function $v\mapsto p(x,v,t)\colon (0,\infty)\to \RR$ and its (local) inverse
are of particular interest. We prove that $\frac{\partial p}{\partial v}(x,v,t)
\not= 0$ holds almost everywhere in $\HH\times (-\infty,T)$ by establishing the
analyticity of $p$ in both, space $(x,v)$ and time $t$ variables. To this end,
we are able to show that the Black\--Scholes\--type operator, which appears in
the diffusion equation, generates a holomorphic $C^0$-semigroup in a suitable
weighted $L^2$-space over $\HH$. We show that the $C^0$-semigroup solution can
be extended to a holomorphic function in a complex domain in $\CC^2\times \CC$,
by establishing some new a~priori weighted $L^2$-estimates over certain complex
"shifts" of $\HH$ for the unique holomorphic extension. These estimates depend
only on the weighted $L^2$-norm of the terminal data over $\HH$ (at $t=T$).

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The categories of this paper are: hep-th
33
The categories of this paper are: plasm-ph
21
The categories of this paper are: adap-org
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The categories of this paper are: cond-mat
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The categories of this paper are: bayes-an
15
The categories of this paper are: nucl-ex
12
The categories of this paper are: nucl-th
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The categories of this paper are: astro-ph
32
The categories of this paper are: atom-ph
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The categories of this paper are: hep-ex
31
The categories of this paper are: ao-sci
9
The categories of this paper are: nlin
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The categories of this paper are: econ
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The categories of this paper are: supr-con
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The categories of this paper are: gr-qc
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The categories of this paper are: cs