The Black and Scholes equation with stochastic volatility. Variational methods

被引：0
|
作者：
Achdou, Y
Tchou, N
机构：
[1] Univ Paris 07, F-75251 Paris 5, France
[2] Univ Rennes 1, Irmar, F-35420 Rennes, France
来源：
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 2001年 / 332卷 / 11期
关键词：
D O I：
10.1016/S0764-4442(01)01958-9
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We give a variational analysis and numerical simulations for a Black and Scholes equation with stochastic volatility. (C) 2001 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.
引用
收藏
页码：1031 / 1036
页数：6
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