The Black and Scholes equation with stochastic volatility. Variational methods

Authors
Achdou, Y Tchou, N
Citation
Y. Achdou et N. Tchou, The Black and Scholes equation with stochastic volatility. Variational methods, CR AC S I, 332(11), 2001, pp. 1031-1036
Citations number
8
Categorie Soggetti
Mathematics
Journal title
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE
ISSN journal
07644442 → ACNP
Volume
332
Issue
11
Year of publication
2001
Pages
1031 - 1036
Database
ISI
SICI code
0764-4442(20010601)332:11<1031:TBASEW>2.0.ZU;2-W
Abstract
We give a variational analysis and numerical simulations for a Black and Sc holes equation with stochastic volatility. (C) 2001 Academie des sciences/E ditions scientifiques et medicales Elsevier SAS.