We prove continuous dependence results for solution to the Cauchy problem related to degenerate parabolic equations arising in the valuation of financial derivatives. These results are crucial in some standard calibration procedure for recent stochastic volatility and interest rates models.
A continuous dependence result for ultraparabolic equations in option pricing / M. Di Francesco; A. Pascucci. - In: JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. - ISSN 0022-247X. - STAMPA. - 336:(2007), pp. 1026-1041.
A continuous dependence result for ultraparabolic equations in option pricing
DI FRANCESCO, MARCO;PASCUCCI, ANDREA
2007
Abstract
We prove continuous dependence results for solution to the Cauchy problem related to degenerate parabolic equations arising in the valuation of financial derivatives. These results are crucial in some standard calibration procedure for recent stochastic volatility and interest rates models.File in questo prodotto:
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