Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models

DOI10.1137/20M1336199zbMath1459.91199arXiv2010.08986OpenAlexW3122681448MaRDI QIDQ5853612

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Publication date: 11 March 2021

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

Full work available at URL: https://arxiv.org/abs/2010.08986

zbMATH Keywords

perturbationwell-posednessstochastic volatility modelspath dependentreflection with multisided barriers

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Multi-dimensional path-dependent forward-backward stochastic variational inequalities ⋮ One-dimensional McKean-Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficients

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