The Heston stochastic volatility model has a boundary trace at zero volatility
DOI10.1007/s13398-022-01374-7OpenAlexW3014929164MaRDI QIDQ2680218
Bénédicte Alziary, Peter Takáč
Publication date: 30 January 2023
Published in: Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.00444
weighted Sobolev spaceholomorphic semigroupdegenerate parabolic equationdynamic boundary conditionsHeston's stochastic volatility modelparabolic smoothing effect
Smoothness and regularity of solutions to PDEs (35B65) Degenerate parabolic equations (35K65) Financial applications of other theories (91G80) Initial value problems for second-order parabolic equations (35K15)
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