Analytic approach to solve a degenerate parabolic PDE for the Heston model (Q5348435)
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scientific article; zbMATH DE number 6760577
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytic approach to solve a degenerate parabolic PDE for the Heston model |
scientific article; zbMATH DE number 6760577 |
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Analytic approach to solve a degenerate parabolic PDE for the Heston model (English)
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15 August 2017
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european option
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degenerate parabolic PDE
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stochastic volatility process
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Heston model
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mathematical finance
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variational formulation
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weighted Sobolev spaces
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semigroup of operators
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