A continuous dependence result for ultraparabolic equations in option pricing

被引：10
|
作者：
Di Francesco, Marco [1 ]
Pascucci, Andrea [1 ]
机构：
[1] Univ Bologna, Dipartmento Matemat, I-40126 Bologna, Italy
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2007年 / 336卷 / 02期
关键词：
Kolmogorov equation; ultraparabolic equation; option pricing; continuous dependence;
D O I：
10.1016/j.jmaa.2007.03.031
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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. (c) 2007 Elsevier Inc. All rights reserved.
引用
收藏
页码：1026 / 1041
页数：16
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