| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4621820 | Journal of Mathematical Analysis and Applications | 2007 | 16 Pages |
Abstract
We prove continuous dependence results for solution to the Cauchy problem related to degenerate parabolic equations arising in the valuation of financial derivatives. These results are crucial in some standard calibration procedure for recent stochastic volatility and interest rates models.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
