相关论文: The Heston stochastic volatility model has a bound…
The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square…
The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square…
We present an analytic approach to solve a degenerate parabolic problem associated to the Heston model, which is widely used in mathematical finance to derive the price of an European option on an risky asset with stochastic volatility. We…
We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our article focuses on the…
We propose a method to determine the smoothness of sufficiently flat solutions of one phase Hele-Shaw problems. The novelty is the observation that under a flatness assumption the free boundary --represented by the hodograph transform of…
The Heston stochastic volatility model is a standard model for valuing financial derivatives, since it can be calibrated using semi-analytical formulas and captures the most basic structure of the market for financial derivatives with…
We establish the well-posedness of an initial-boundary value problem of mixed type for a stochastic nonlinear parabolic-hyperbolic equation on a space domain $\cO=\cO'\X\cO''$ where a Neumann boundary condition is imposed on…
The Heston stochastic volatility process is a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process…
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However, managing the risks of derivatives under…
We study the Stokes system with the localized boundary data in the half-space. We are concerned with the local regularity of its solution near the boundary away from the support of the given boundary data which are product forms of each…
We study the Heston model for pricing European options on stocks with stochastic volatility. This is a Black\--Scholes\--type equation whose spatial domain for the logarithmic stock price $x\in \RR$ and the variance $v\in (0,\infty)$ is the…
We study second order hyperbolic equations with initial conditions, a nonhomogeneous Dirichlet boundary condition and a source term. We prove the solution possesses $H^1$ regularity on any piecewise $C^1$-smooth non-timelike hypersurfaces.…
We prove boundary H\"older and Lipschitz regularity for a class of degenerate elliptic, second order, inhomogeneous equations in non-divergence form structured on the left-invariant vector fields of the Heisenberg group. Our focus is on the…
We study second-order hyperbolic equations with degenerate elliptic operators and non-homogeneous Dirichlet boundary inputs. We establish existence and regularity of weak solutions in weighted Sobolev spaces under mild assumptions on the…
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we introduce the Stationary Heston model where we replace the…
This paper is concerned with the initial boundary value problem for a nonconservative system of hyperbolic equation appearing in elastodynamics in the space time domain $x > 0, t > 0$. The number of boundary conditions to be prescribed at…
We consider a non-autonomous evolutionary problem \[ u' (t)+\mathcal A (t)u(t)=f(t), \quad u(0)=u_0, \] where $V, H$ are Hilbert spaces such that $V$ is continuously and densely embedded in $H$ and the operator $\mathcal A (t)\colon V\to…
We study hidden boundary trace regularity for two-dimensional hyperbolic equations with boundary degeneracy governed by $\mcA\vp=-\Div(A\nabla \vp)$, where $A=\diag(1,r^\al)$ and $\al\in(0,1)$. We establish well-posedness in weighted…
This work studies the regularity and the geometric significance of solution of the Cauchy problem for a degenerate parabolic equation $u_{t}=\Delta{}u^{m}$. Our main objective is to improve the H$\ddot{o}$lder estimate obtained by pioneers…
This paper is a continuation of our previous work [21], where we have established that, for the second-order degenerate hyperbolic equation (\p_t^2-t^m\Delta_x)u=f(t,x,u), locally bounded, piecewise smooth solutions u(t,x) exist when the…