Analysis of an uncertain volatility model (Q955456): Difference between revisions

Summary: We examine, from both analytical and numerical viewpoints, the uncertain volatility model by Hobson-Rogers in the framework of degenerate parabolic PDEs of Kolmogorov type.

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Mathematics Subject Classification ID

91B28

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zbMATH DE Number

5369116

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MaRDI profile type

MaRDI publication profile

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cites work

SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS

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The Pricing of Options and Corporate Liabilities

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On the complete model with stochastic volatility by Hobson and Rogers

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Q5713276

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Q4515981

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Complete Models with Stochastic Volatility

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Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)

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Q4429188

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The Dirichlet problem for a class of ultraparabolic equations

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A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations

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On the Cauchy Problem for a Nonlinear Kolmogorov Equation

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Q4869769

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A global lower bound for the fundamental solution of Kolmogorov-Fokker-Planck equations

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A finite difference method for a boundary value problem related to the Kolmogorov equation

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Some mathematical results in the pricing of American options

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OpenAlex ID

W2100451591

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Sitelinks

Mathematics(1 entry)

mardi Publication:955456

@@ Property / cites work @@
+SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+On the complete model with stochastic volatility by Hobson and Rogers
+Normal rank
@@ Property / cites work @@
+Q5713276
@@ Property / cites work: Q5713276 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4515981
@@ Property / cites work: Q4515981 / rank @@
+Normal rank
@@ Property / cites work @@
+Complete Models with Stochastic Volatility
@@ Property / cites work: Complete Models with Stochastic Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)
+Normal rank
@@ Property / cites work @@
+Q4429188
@@ Property / cites work: Q4429188 / rank @@
+Normal rank
@@ Property / cites work @@
+The Dirichlet problem for a class of ultraparabolic equations
+Normal rank
@@ Property / cites work @@
+A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations
+Normal rank
@@ Property / cites work @@
+On the Cauchy Problem for a Nonlinear Kolmogorov Equation
+Normal rank
@@ Property / cites work @@
+Q4869769
@@ Property / cites work: Q4869769 / rank @@
+Normal rank
@@ Property / cites work @@
+A global lower bound for the fundamental solution of Kolmogorov-Fokker-Planck equations
+Normal rank
@@ Property / cites work @@
+A finite difference method for a boundary value problem related to the Kolmogorov equation
+Normal rank
@@ Property / cites work @@
+Some mathematical results in the pricing of American options
+Normal rank
@@ Property / OpenAlex ID @@
+W2100451591
@@ Property / OpenAlex ID: W2100451591 / rank @@
+Normal rank