Existence of solutions of some boundary value problems with stochastic volatility

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...

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Bibliographic Details
Main Authors:	B.O. Osu, E.O. Eze, U.E. Obasi, H.I. Ukomah
Format:	Article
Language:	English
Published:	Elsevier 2020-02-01
Series:	Heliyon
Subjects:	Computational mathematics Financial BVP Stochastic volatility Heat equation Laplace equation
Online Access:	http://www.sciencedirect.com/science/article/pii/S2405844020302668

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