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. |
Year | DOI | Venue |
---|---|---|
2006 | 10.1155/JAMDS/2006/15609 | JAMDS |
Field | DocType | Volume |
Econometrics,Degenerate energy levels,Mathematical economics,Viewpoints,Volatility (finance),Mathematics,Parabola | Journal | 2006 |
Citations | PageRank | References |
3 | 0.73 | 1 |
Authors | ||
3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Marco Di Francesco | 1 | 53 | 12.10 |
Paolo Foschi | 2 | 35 | 12.46 |
Andrea Pascucci | 3 | 34 | 9.05 |