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：

引用

页码：1031 / 1036

页数：6

共 50 条

[41] Convergence to Black-Scholes for ergodic volatility models
Conlon, JG
Sullivan, MG
EUROPEAN JOURNAL OF APPLIED MATHEMATICS, 2005, 16 : 385 - 409
[42] Uniform Bounds for Black-Scholes Implied Volatility
Tehranchi, Michael R.
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2016, 7 (01): : 893 - 916
[43] SYMMETRIES OF THE BLACK-SCHOLES EQUATION
Lescot, Paul
METHODS AND APPLICATIONS OF ANALYSIS, 2012, 19 (02) : 147 - 160
[44] Kurtosis in black-scholes model with Garch volatility
Sheraz, Muhammad
Preda, Vasile
UPB Scientific Bulletin, Series A: Applied Mathematics and Physics, 2016, 78 (01): : 205 - 216
[45] On an implicit assessment of fuzzy volatility in the Black and Scholes environment
Capotorti, Andrea
Figa-Talamanca, Gianna
FUZZY SETS AND SYSTEMS, 2013, 223 : 59 - 71
[46] Dynamics of stocks prices based in the Black & Scholes equation and nonlinear stochastic differentials equations
Lima, L. S.
Melgaco, J. H. C.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2021, 581
[47] KURTOSIS IN BLACK-SCHOLES MODEL WITH GARCH VOLATILITY
Sheraz, Muhammad
Preda, Vasile
UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS, 2016, 78 (01): : 205 - 216
[48] Corrigendum to "Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model"
Salvador, Beatriz
Oosterlee, Cornelis W.
APPLIED MATHEMATICS AND COMPUTATION, 2021, 406
[49] The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black-Scholes Model
Takaoka, Koichiro
Futami, Hidenori
ASIA-PACIFIC FINANCIAL MARKETS, 2010, 17 (04) : 391 - 436
[50] On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options
Jiang, Xiaoying
Xu, Xiang
APPLICABLE ANALYSIS, 2021, 100 (15) : 3145 - 3160

← 1 2 3 4 5 →