Analysis of an uncertain volatility model
type: Item
instance of: scholarly article
title: Analysis of an uncertain volatility model
zbMATH Open document ID: 1153.91485
DOI: 10.1155/JAMDS/2006/15609
author: Marco Di Francesco
author: Paolo Foschi
author: Andrea Pascucci
published in: Journal of Applied Mathematics and Decision Sciences
publication date: 2008-11-20T00:00:00Z
full work available at URL: https://eudml.org/doc/129562
review text: Summary: We examine, from both analytical and numerical viewpoints, the uncertain volatility model by Hobson-Rogers in the framework of degenerate parabolic PDEs of Kolmogorov type.
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5369116
MaRDI profile type: Publication
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OpenAlex ID: W2100451591
description: scientific article; zbMATH DE number 5369116