Skip to Main content Skip to Navigation
Journal articles

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
Document type :
Journal articles
Complete list of metadatas
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

Identifiers

  • HAL Id : hal-00019756, version 1

Collections

CNRS | INSMI | LJLL | UPMC | TDS-MACS | SORBONNE-UNIVERSITE | SU-SCIENCES | UNIV-PARIS7 | USPC | UNIV-PARIS

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⟩

Export

BibTeX TEI DC DCterms EndNote

Share

Metrics

Record views

287