Variational Analysis for Options with Stochastic Volatility and Multiple Factors

DOI10.1137/17M1130836MaRDI QIDQ4579831zbMATH OpenFDO

Authors Axel Kröner, J. Frédéric Bonnans

Publication date 10 August 2018

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/17M1130836

zbMATH Keywords

financeoptionsparabolic variational inequalitiespartial differential equationsvariational formulation

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

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• Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

Cited in

(1)

• Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

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