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An existence result for a P.D.E. with hysteresis, convection and a nonlinear boundary condition
Pricing realized variance options using integrated stochastic variance options in the Heston stochastic volatility model
1. | Dipartimento di Matematica Pura ed Applicata, Università di Modena e Reggio Emilia, Via Campi 213/b, 41100 Modena, Italy |
2. | Dipartimento di Scienze Sociali "D. Serrani", Università Politecnica delle Marche, Piazza Martelli 8, 60121, Italy, Italy |
3. | Dipartimento di Matematica "G. Castelnuovo", Università di Roma "La Sapienza", Piazzale Aldo Moro 2, 00185 Roma, Italy |
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Xingchun Wang, Yongjin Wang. Variance-optimal hedging for target volatility options. Journal of Industrial and Management Optimization, 2014, 10 (1) : 207-218. doi: 10.3934/jimo.2014.10.207 |
[2] |
Sylvain De Moor, Luis Miguel Rodrigues, Julien Vovelle. Invariant measures for a stochastic Fokker-Planck equation. Kinetic and Related Models, 2018, 11 (2) : 357-395. doi: 10.3934/krm.2018017 |
[3] |
Kais Hamza, Fima C. Klebaner, Olivia Mah. Volatility in options formulae for general stochastic dynamics. Discrete and Continuous Dynamical Systems - B, 2014, 19 (2) : 435-446. doi: 10.3934/dcdsb.2014.19.435 |
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Axel Klar, Florian Schneider, Oliver Tse. Approximate models for stochastic dynamic systems with velocities on the sphere and associated Fokker--Planck equations. Kinetic and Related Models, 2014, 7 (3) : 509-529. doi: 10.3934/krm.2014.7.509 |
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Michael Herty, Lorenzo Pareschi. Fokker-Planck asymptotics for traffic flow models. Kinetic and Related Models, 2010, 3 (1) : 165-179. doi: 10.3934/krm.2010.3.165 |
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Jacinto Marabel Romo. A closed-form solution for outperformance options with stochastic correlation and stochastic volatility. Journal of Industrial and Management Optimization, 2015, 11 (4) : 1185-1209. doi: 10.3934/jimo.2015.11.1185 |
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Yu Xing, Wei Wang, Xiaonan Su, Huawei Niu. Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022022 |
[8] |
Marco Torregrossa, Giuseppe Toscani. On a Fokker-Planck equation for wealth distribution. Kinetic and Related Models, 2018, 11 (2) : 337-355. doi: 10.3934/krm.2018016 |
[9] |
Michael Herty, Christian Jörres, Albert N. Sandjo. Optimization of a model Fokker-Planck equation. Kinetic and Related Models, 2012, 5 (3) : 485-503. doi: 10.3934/krm.2012.5.485 |
[10] |
José Antonio Alcántara, Simone Calogero. On a relativistic Fokker-Planck equation in kinetic theory. Kinetic and Related Models, 2011, 4 (2) : 401-426. doi: 10.3934/krm.2011.4.401 |
[11] |
Hao Chang, Jiaao Li, Hui Zhao. Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria. Journal of Industrial and Management Optimization, 2022, 18 (2) : 1393-1423. doi: 10.3934/jimo.2021025 |
[12] |
John W. Barrett, Endre Süli. Existence of global weak solutions to Fokker-Planck and Navier-Stokes-Fokker-Planck equations in kinetic models of dilute polymers. Discrete and Continuous Dynamical Systems - S, 2010, 3 (3) : 371-408. doi: 10.3934/dcdss.2010.3.371 |
[13] |
Helge Dietert, Josephine Evans, Thomas Holding. Contraction in the Wasserstein metric for the kinetic Fokker-Planck equation on the torus. Kinetic and Related Models, 2018, 11 (6) : 1427-1441. doi: 10.3934/krm.2018056 |
[14] |
Hyung Ju Hwang, Juhi Jang. On the Vlasov-Poisson-Fokker-Planck equation near Maxwellian. Discrete and Continuous Dynamical Systems - B, 2013, 18 (3) : 681-691. doi: 10.3934/dcdsb.2013.18.681 |
[15] |
Andreas Denner, Oliver Junge, Daniel Matthes. Computing coherent sets using the Fokker-Planck equation. Journal of Computational Dynamics, 2016, 3 (2) : 163-177. doi: 10.3934/jcd.2016008 |
[16] |
Ioannis Markou. Hydrodynamic limit for a Fokker-Planck equation with coefficients in Sobolev spaces. Networks and Heterogeneous Media, 2017, 12 (4) : 683-705. doi: 10.3934/nhm.2017028 |
[17] |
Linjie Xiong, Tao Wang, Lusheng Wang. Global existence and decay of solutions to the Fokker-Planck-Boltzmann equation. Kinetic and Related Models, 2014, 7 (1) : 169-194. doi: 10.3934/krm.2014.7.169 |
[18] |
Manh Hong Duong, Yulong Lu. An operator splitting scheme for the fractional kinetic Fokker-Planck equation. Discrete and Continuous Dynamical Systems, 2019, 39 (10) : 5707-5727. doi: 10.3934/dcds.2019250 |
[19] |
Giuseppe Toscani. A Rosenau-type approach to the approximation of the linear Fokker-Planck equation. Kinetic and Related Models, 2018, 11 (4) : 697-714. doi: 10.3934/krm.2018028 |
[20] |
Shuang Li, Chuong Luong, Francisca Angkola, Yonghong Wu. Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion. Journal of Industrial and Management Optimization, 2016, 12 (4) : 1521-1533. doi: 10.3934/jimo.2016.12.1521 |
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