Variational analysis for options with stochastic volatility and multiple factors
Résumé
This paper performs a variational analysis for a class of Euro-pean or American options with stochastic volatility models, including those of Heston and Achdou-Tchou. Taking into account partial correlations and the presence of multiple factors, we obtain the well-posedness of the related partial differential equations, in some weigthed Sobolev spaces. This involves a generalization of the commutator analysis introduced by Achdou and Tchou in [2].
| Origine | Fichiers produits par l'(les) auteur(s) |
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