The Black and Scholes equation with stochastic volatility. Variational methods

DOI10.1016/S0764-4442(01)01958-9zbMath0983.65008MaRDI QIDQ2741012

Yves Achdou, Nicoletta Tchou

Publication date: 9 September 2001

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitynumerical simulationsfinancevariational analysisBlack and Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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