Existence of solutions of some boundary value problems with stochastic volatility
This paper aims at obtaining the analytical solutions of some boundary value problems garnished with stochastic volatility, price volatility risk and the risk premium. A set of functions is constructed which transforms the problem into a Laplace equation and a heat equation. The analytical solutions...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-02-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844020302668 |