A partial differential equation connected to option pricing with stochastic volatility: Regularity results and discretization (Q4671839)
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scientific article; zbMATH DE number 2161912
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A partial differential equation connected to option pricing with stochastic volatility: Regularity results and discretization |
scientific article; zbMATH DE number 2161912 |
Statements
A partial differential equation connected to option pricing with stochastic volatility: Regularity results and discretization (English)
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27 April 2005
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Ornstein-Uhlenbeck process
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weighted Sobolev spaces
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regular mesh
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