The Black-Scholes equation in stochastic volatility models
From MaRDI portal
(Redirected from Publication:973979)
Recommendations
- The Black and Scholes equation with stochastic volatility. Variational methods
- scientific article; zbMATH DE number 6133391
- Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
- Stochastic volatility models with application in option pricing
- Stochastic Volatility Models and Option Prices
- THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
- Valuation equations for stochastic volatility models
- Stochastic volatility models and the pricing of VIX options
- The Black–Scholes equation in the presence of arbitrage
- scientific article; zbMATH DE number 6521211
Cites work
- scientific article; zbMATH DE number 5145313 (Why is no real title available?)
- scientific article; zbMATH DE number 5164440 (Why is no real title available?)
- scientific article; zbMATH DE number 1210402 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- scientific article; zbMATH DE number 3383329 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Asset price bubbles in complete markets
- Boundary values and finite difference methods for the single factor term structure equation
- Bubbles, convexity and the Black-Scholes equation
- Complications with stochastic volatility models
- Correlations and bounds for stochastic volatility models
- Degenerate stochastic differential equations with Hölder continuous coefficients and super-Markov chains
- FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
- Local martingales, bubbles and option prices
- Martingales versus PDEs in finance: an equivalence result with examples
- Moment explosions in stochastic volatility models
Cited in
(52)- scientific article; zbMATH DE number 6133391 (Why is no real title available?)
- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- Reconstruction of the time-dependent volatility function using the Black-Scholes model
- Black-Scholes model under subordination
- Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models
- 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
- Outperforming the market portfolio with a given probability
- 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
- Equivalent Black volatilities
- Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation
- Boundary conditions for the single-factor term structure equation
- 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
- Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross partial differential equation by alternating direction implicit finite difference schemes
- Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing
- Existence of optimal parameters for the Black-Scholes option pricing model
- Black-Scholes in a CEV random environment
- Simplest differential equation of stock price, its solution and relation to assumption of Black-Scholes model
- THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
- Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations
- On multistep stabilizing correction splitting methods with applications to the Heston model
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- General solution of the Black-Scholes boundary-value problem
- The exact traveling wave solutions of a class of generalized Black-Scholes equation
- European options sensitivity with respect to the correlation for multidimensional Heston models
- Singular risk-neutral valuation equations
- Valuation equations for stochastic volatility models
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
- 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
- On Black-Scholes option pricing model with stochastic volatility: an information theoretic approach
- Feynman–Kac formulas for regime-switching jump diffusions and their applications
- Variational Formulation of American Option Prices in the Heston Model
- Partial differential equation pricing of contingent claims under stochastic correlation
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Pricing American put option using RBF-NN: new simulation of Black-Scholes
- 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
- A Lie algebraic and numerical investigation of the Black-Scholes equation with Heston volatility model
- An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
- Weighted average price in the Heston stochastic volatility model
- Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
- The null volatility limit of the chaotic Black-Scholes equation
- scientific article; zbMATH DE number 6847457 (Why is no real title available?)
- On the \(\epsilon\)-approximation of the solution of the Black-Scholes equation
- 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 \(\sigma\rightarrow 0^+\)
This page was built for publication: The Black-Scholes equation in stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q973979)
