Analysis of an uncertain volatility model (Q955456): Difference between revisions
From MaRDI portal
Revision as of 20:42, 28 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Analysis of an uncertain volatility model |
scientific article |
Statements
Analysis of an uncertain volatility model (English)
0 references
20 November 2008
0 references
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.
0 references
0 references
0 references
0 references