On the complete model with stochastic volatility by Hobson and Rogers (Q3024615): Difference between revisions
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| Property / DOI: 10.1098/rspa.2004.1370 / rank | |||
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| Property / author: Andrea Pascucci / rank | |||
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| Property / full work available at URL: https://doi.org/10.1098/rspa.2004.1370 / rank | |||
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| Property / DOI: 10.1098/RSPA.2004.1370 / rank | |||
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Latest revision as of 08:47, 20 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the complete model with stochastic volatility by Hobson and Rogers |
scientific article |
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On the complete model with stochastic volatility by Hobson and Rogers (English)
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1 July 2005
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Black-Scholes model
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stochastic volatility
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path-dependent contingent claim
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Kolmogorov equation
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hypoelliptic equation
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