Analysis of an uncertain volatility model

Di Francesco, Marco ; Foschi, P. ; Pascucci, Andrea (2004) Analysis of an uncertain volatility model. [Preprint]
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Abstract

We examine, both from an analytical and numerical viewpoint, the uncertain volatility model by Hobson-Rogers in the framework of degenerate parabolic PDEs of Kolmogorov type.

Abstract
Document type
Preprint
Creators
CreatorsAffiliationORCID
Di Francesco, Marco
Foschi, P.
Pascucci, Andrea
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DOI
Deposit date
07 Oct 2004
Last modified
17 Feb 2016 14:05
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