The Black-Scholes equation in stochastic volatility models
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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)
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