The Heston stochastic volatility model has a boundary trace at zero volatility (Q2680218)
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scientific article; zbMATH DE number 7647051
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Heston stochastic volatility model has a boundary trace at zero volatility |
scientific article; zbMATH DE number 7647051 |
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The Heston stochastic volatility model has a boundary trace at zero volatility (English)
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30 January 2023
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degenerate parabolic equation
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weighted Sobolev space
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holomorphic semigroup
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parabolic smoothing effect
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dynamic boundary conditions
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Heston's stochastic volatility model
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