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

Yves Achdou 1 B. Franchi N. Tchou 
1 LJLL - Laboratoire Jacques-Louis Lions
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https://hal.archives-ouvertes.fr/hal-00019756
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Submitted on : Monday, February 27, 2006 - 3:37:47 PM
Last modification on : Sunday, June 26, 2022 - 5:24:00 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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