Valuation Equations for Stochastic Volatility Models
type: Item
instance of: scholarly article
title: Valuation Equations for Stochastic Volatility Models
zbMATH Open document ID: 1255.91125
DOI: 10.1137/110842302
author: Erhan Bayraktar
author: Constantinos Kardaras
author: Hao Xing
published in: SIAM Journal on Financial Mathematics
publication date: 2013-01-25T00:00:00Z
full work available at URL: https://arxiv.org/abs/1004.3299
full work available at URL: http://eprints.lse.ac.uk/43460/
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 35K20
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6130647
zbMATH Keywords: stochastic volatility models
zbMATH Keywords: valuation equations
zbMATH Keywords: Feynman-Kac theorem
zbMATH Keywords: strict local martingales
zbMATH Keywords: necessary and sufficient conditions for uniqueness
MaRDI profile type: Publication
OpenAlex ID: W1968171823
arXiv ID: 1004.3299
description: scientific article; zbMATH DE number 6130647