A nonlinear partial integro-differential equation from mathematical finance

Frédéric Abergel () and Rémi Tachet ()
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Frédéric Abergel: MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec
Rémi Tachet: MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec

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Abstract: We study a nonlinear partial integrodifferential equation arising in the calibration of stochastic volatility models to a market of vanilla options.

Date: 2010-07-01
New Economics Papers: this item is included in nep-ore
Note: View the original document on HAL open archive server: https://hal.science/hal-00611962
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Citations: View citations in EconPapers (13)

Published in Discrete and Continuous Dynamical Systems - Series A, 2010, 27 (3), pp.907-917. ⟨10.3934/dcds.2010.27.907⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00611962

DOI: 10.3934/dcds.2010.27.907

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