Variational Analysis for the Black and Scholes Equation with Stochastic Volatility (Q4423060)
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scientific article; zbMATH DE number 1970444
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variational Analysis for the Black and Scholes Equation with Stochastic Volatility |
scientific article; zbMATH DE number 1970444 |
Statements
Variational Analysis for the Black and Scholes Equation with Stochastic Volatility (English)
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25 August 2003
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degenerate parabolic equations
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european options
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mean reverting Ornstein-Uhlenbeck process
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weighted Sobolev spaces
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finite element method
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finite difference method
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