On the complete model with stochastic volatility by Hobson and Rogers

DOI10.1098/rspa.2004.1370zbMath1092.91024OpenAlexW2007137569MaRDI QIDQ3024615

Marco Di Francesco, Andrea Pascucci

Publication date: 1 July 2005

Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2004.1370

zbMATH Keywords

stochastic volatilityBlack-Scholes modelKolmogorov equationhypoelliptic equationpath-dependent contingent claim

Mathematics Subject Classification ID

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