Asymptotic expansions for degenerate parabolic equations

被引：12

作者：

Pagliarani, Stefano ^{[1
,2
]}

Pascucci, Andrea ^{[3
]}

机构：

[1] Ecole Polytech, Ctr Math Appl, F-91128 Palaiseau, France

[2] CNRS, F-91128 Palaiseau, France

[3] Univ Bologna, Dipartimento Matemat, I-40126 Bologna, Italy

来源：

COMPTES RENDUS MATHEMATIQUE | 2014年 / 352卷 / 12期

关键词：

HESTON MODEL; VOLATILITY;

D O I：

10.1016/j.crma.2014.09.024

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We prove asymptotic convergence results for some analytical expansions of solutions to degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the uniformly parabolic case, with some a priori bounds on "short cylinders", and we achieve short-time asymptotic convergence of the approximate solution in the degenerate parabolic case. (C) 2014 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.

引用

页码：1011 / 1016

页数：6

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