The Black-Scholes equation in stochastic volatility models (Q973979)
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| Language | Label | Description | Also known as |
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| English | The Black-Scholes equation in stochastic volatility models |
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The Black-Scholes equation in stochastic volatility models (English)
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26 May 2010
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The purpose of this paper is to provide the precise connection between the risk-neutral expected value and the pricing PDE with appropriate boundary conditions for stochastic volatility models. This paper extends the one-dimensional results by the authors in [``Boundary conditions for the single-factor term structure equation'', Ann. Appl. Probab., in press] to a setting with two spatial dimensions.
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parabolic equations
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Feynman-Kac theorems
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option pricing
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stochastic volatility
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boundary conditions
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