Existence, uniqueness, and global regularity for degenerate elliptic obstacle problems in mathematical finance
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- JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
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- Michael A. Kouritzin, 2016. "Path-dependent option pricing with explicit solutions, stochastic approximation and Heston examples," Papers 1608.02028, arXiv.org, revised Sep 2016.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-16 (All new papers)
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