Variational Analysis for Options with Stochastic Volatility and Multiple Factors

DOI10.1137/17M1130836zbMath1397.35118MaRDI QIDQ4579831

Axel Kröner, Joseph Frédéric Bonnans

Publication date: 10 August 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

optionsvariational formulationpartial differential equationsfinanceparabolic variational inequalities

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Initial-boundary value problems for second-order parabolic equations (35K20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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