Title of article
A continuous dependence result for ultraparabolic equations in option pricing
Author/Authors
Marco Di Francesco، نويسنده , , Andrea Pascucci ?، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2007
Pages
16
From page
1026
To page
1041
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.
© 2007 Elsevier Inc. All rights reserved
Keywords
Kolmogorov equation , option pricing , Ultraparabolic equation , continuous dependence
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2007
Journal title
Journal of Mathematical Analysis and Applications
Record number
936321
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