Computing the implied volatility in stochastic volatility models
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Publication:3156847
DOI10.1002/cpa.20039zbMath1181.91356MaRDI QIDQ3156847
Igor Florent, Jérôme Busca, Henri Berestycki
Publication date: 12 January 2005
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cpa.20039
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
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