Valuation Equations for Stochastic Volatility Models

DOI10.1137/110842302zbMath1255.91125arXiv1004.3299OpenAlexW1968171823MaRDI QIDQ4902218

Constantinos Kardaras, Hao Xing, Erhan Bayraktar

Publication date: 25 January 2013

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

Full work available at URL: https://arxiv.org/abs/1004.3299

zbMATH Keywords

stochastic volatility modelsstrict local martingalesFeynman-Kac theoremnecessary and sufficient conditions for uniquenessvaluation equations

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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