Skip to Main content Skip to Navigation
Journal articles

A partial differential equation connected to option pricing with stochastic volatility: regularity results and discretization

Document type :
Journal articles
Complete list of metadata

https://hal.archives-ouvertes.fr/hal-00019756
Contributor : Liliane Ruprecht Connect in order to contact the contributor
Submitted on : Monday, February 27, 2006 - 3:37:47 PM
Last modification on : Sunday, June 26, 2022 - 5:24:00 AM

Identifiers

  • HAL Id : hal-00019756, version 1

Citation

Yves Achdou, B. Franchi, N. Tchou. A partial differential equation connected to option pricing with stochastic volatility: regularity results and discretization. Math. Comp., 2005, 74, pp.1291-1322. ⟨hal-00019756⟩

Share

Metrics

Record views

37