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

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https://hal.archives-ouvertes.fr/hal-00019756
Contributor : Liliane Ruprecht <>
Submitted on : Monday, February 27, 2006 - 3:37:47 PM
Last modification on : Friday, March 27, 2020 - 3:52:20 AM

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  • HAL Id : hal-00019756, version 1

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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⟩

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