Yes and no. It is known that this movie will reveal the last stone. That makes it highly likely it's hidden in Asgard or entrusted to an Asgardian. It is known that the other stones were hidden in things that spell Thanos' name (Tesseract, ?, Aether, Necklace, Orb, Scepter). It has been speculated that Heimdal has the soul stone because of a line he had once about being able to see souls, but that never seemed very likely to me. The only other Asgard-themed H word would appear to be Hammer. Makes a large degree of sense given the hammer's power to be lifted by only those deemed worthy, as a result of Odin's enchantment in the first film. It would appear Odin had some ability to influence the behavior of the hammer based on the worthiness of a man's soul, influence that was likely achieved by some degree of control over the soul stone.