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Q4553708 - MaRDI portal

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scientific article; zbMATH DE number 6969301
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English
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scientific article; zbMATH DE number 6969301

    Statements

    author
    Bénédicte Alziary
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    Peter Takáč
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    publication date
    31 October 2018
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    zbMATH Keywords
    Heston model
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    stochastic volatility
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    Black-Scholes equation
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    European call option
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    degenerate parabolic equation
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    terminal value problem
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    holomorphic extension
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    analytic solution
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    Identifiers

    Mathematics Subject Classification ID
    35Q91
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    91B24
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    35B65
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    91G80
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    35K65
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    35K15
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    zbMATH DE Number
    6969301
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