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Journal Articles SIAM Journal on Financial Mathematics Year : 2018

Variational analysis for options with stochastic volatility and multiple factors

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Abstract

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].
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Dates and versions

hal-01516011 , version 1 (28-04-2017)
hal-01516011 , version 2 (09-04-2018)
hal-01516011 , version 3 (09-04-2018)

Identifiers

  • HAL Id : hal-01516011 , version 3

Cite

Joseph Frédéric Bonnans, Axel Kröner. Variational analysis for options with stochastic volatility and multiple factors. SIAM Journal on Financial Mathematics, 2018, 9 (2), pp.465-492. ⟨hal-01516011v3⟩
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