The Black-Scholes equation in stochastic volatility models
From MaRDI portal
Publication:973979
DOI10.1016/j.jmaa.2010.04.014zbMath1188.91200OpenAlexW1994752531MaRDI QIDQ973979
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
Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (24)
An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance ⋮ Lyapunov stability analysis for nonlinear delay systems under random effects and stochastic perturbations with applications in finance and ecology ⋮ European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme ⋮ Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation ⋮ Weighted average price in the Heston stochastic volatility model ⋮ Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation ⋮ Density symmetries for a class of 2-D diffusions with applications to finance ⋮ Outperforming the market portfolio with a given probability ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model ⋮ ADI schemes for valuing European options under the Bates model ⋮ Singular risk-neutral valuation equations ⋮ EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS ⋮ On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model ⋮ Feynman–Kac formulas for regime-switching jump diffusions and their applications ⋮ Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models ⋮ Variational Formulation of American Option Prices in the Heston Model ⋮ Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method ⋮ Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing ⋮ MONOTONICITY OF PRICES IN HESTON MODEL ⋮ Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions ⋮ The exact traveling wave solutions of a class of generalized Black-Scholes equation ⋮ Boundary conditions for computing densities in hybrid models via PDE methods ⋮ Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bubbles, convexity and the Black-Scholes equation
- Correlations and bounds for stochastic volatility models
- Moment explosions in stochastic volatility models
- Local martingales, bubbles and option prices
- Martingales versus PDEs in finance: an equivalence result with examples
- Degenerate stochastic differential equations with Hölder continuous coefficients and super-Markov chains
- Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
- Complications with stochastic volatility models
- FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
This page was built for publication: The Black-Scholes equation in stochastic volatility models
