On the complete model with stochastic volatility by Hobson and Rogers

Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Volumn 460, Issue 2051, 2004, Pages 3327-3338

  Di Francesco, Marco ^a   Pascucci, Andrea ^a  

^a UNIVERSITY OF BOLOGNA   (Italy)

Author keywords

Black Scholes model; Hypoelliptic equation; Kolmogorov equation; Path dependent contingent claim; Stochastic volatility

Indexed keywords

ARTICLE; CALCULATION; COMPARATIVE STUDY; MATHEMATICAL ANALYSIS; MATHEMATICAL MODEL; STATISTICS; VOLATILIZATION;

EID: 17144421288     PISSN: 13645021     EISSN: 14712946     Source Type: Journal    
DOI: 10.1098/rspa.2004.1370     Document Type: Article

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