Variational Analysis for Options with Stochastic Volatility and Multiple Factors-Reference-Cited by-同舟云学术

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Variational Analysis for Options with Stochastic Volatility and Multiple Factors

Published:2018-01 Issue:2 Volume:9 Page:465-492
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Bonnans J. Frédéric,Kröner Axel

Funder

Laboratoire de Finance des Marches de l'Energie

Fondation Mathématique Jacques Hadamard

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/17M1130836

Reference12 articles.

1. A partial differential equation connected to option pricing with stochastic volatility: Regularity results and discretization

2. Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

3. A Theory of the Term Structure of Interest Rates

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