A nonlinear partial integro-differential equation from mathematical finance
AbstractWe study a nonlinear partial integrodifferential equation arising in the calibration of stochastic volatility models to a market of vanilla options.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00611962.
Date of creation: 01 Jul 2010
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Publication status: Published, Discrete and Continuous Dynamical Systems: Series A, 2010, 907
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