Analytic approach to solve a degenerate parabolic PDE for the Heston model-Reference-Cited by-同舟云学术

Analytic approach to solve a degenerate parabolic PDE for the Heston model

Published:2017 Issue: Volume: Page:
ISSN:0170-4214
Container-title:Mathematical Methods in the Applied Sciences
language:en
Short-container-title:Math. Meth. Appl. Sci.

Author:

Canale Anna¹,Mininni Rosa Maria²^ORCID,Rhandi Abdelaziz¹

Affiliation:

1. Dipartimento di Ingegneria dell'Informazione, Ingegneria Elettrica e Matematica Applicata; Università di Salerno; Via Giovanni Paolo II, 132 Fisciano I 84084 Salerno Italy

2. Dipartimento di Matematica; Università degli Studi di Bari A.Moro; Via E.Orabona 4 70125 Bari Italy

Funder

M.I.U.R. research project Prin

Publisher

Wiley

Subject

General Engineering,General Mathematics

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/mma.4363/fullpdf

Reference18 articles.

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4. A closed-form solution for options with stochastic volatility with applications to bond and currency options;Heston;The Review of Financial Studies,1993

5. A theory of the term structure of interest rates;Cox;Econometrica,1985

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