The Black-Scholes equation in stochastic volatility models

DOI10.1016/J.JMAA.2010.04.014zbMATH Open1188.91200OpenAlexW1994752531MaRDI QIDQ973979FDOQ973979

Johan Tysk, Erik Ekström

Publication date: 26 May 2010

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.04.014

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zbMATH Keywords

option pricingparabolic equationsstochastic volatilityboundary conditionsFeynman-Kac theorems

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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Cited In (44)

• On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model
• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Black-Scholes model under subordination
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions
• FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
• Monotonicity of prices in Heston model
• Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
• Outperforming the market portfolio with a given probability
• Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation
• Equivalent Black volatilities
• EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS
• Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes
• Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation
• Boundary conditions for computing densities in hybrid models via PDE methods
• ADI schemes for valuing European options under the Bates model
• The sustainable Black-Scholes equations
• Black-Scholes in a CEV random environment
• THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
• Simplest differential equation of stock price, its solution and relation to assumption of Black-Scholes model
• Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations
• A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
• Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models
• European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
• The exact traveling wave solutions of a class of generalized Black-Scholes equation
• Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model
• Singular risk-neutral valuation equations
• On nonexistence of non-constant volatility in the Black-Scholes formula
• Lyapunov stability analysis for nonlinear delay systems under random effects and stochastic perturbations with applications in finance and ecology
• Variational Formulation of American Option Prices in the Heston Model
• Feynman–Kac formulas for regime-switching jump diffusions and their applications
• Pricing American put option using RBF-NN: new simulation of Black-Scholes
• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
• The Heston stochastic volatility model has a boundary trace at zero volatility
• A boundary point lemma for Black-Scholes type operators
• Derivation of the Black–Scholes Equation from Basic Principles
• An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
• Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing
• A Lie algebraic and numerical investigation of the Black-Scholes equation with Heston volatility model
• Weighted average price in the Heston stochastic volatility model
• Title not available (Why is that?)
• Density symmetries for a class of 2-D diffusions with applications to finance
• The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\)
• Title not available (Why is that?)

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