A hierarchy of some stochastic volatility models and correspondent Black-Scholes-Merton-Garman-like PDEs and S PDEs

Tiberiu Socaciu

Abstract


In this paper we will build a hierarchy of some stochastic models used in derivatives modeling and we offer for each two partial differential equations (PDEs) whose solution is a pricing function of selected derivative if put some boundary conditions, like in Black–Scholes equation: one is Black-Scholes-Merton-like PDE and other is S PDE.

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References


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