论文信息 - A nonlinear partial integro-differential equation from mathematical finance - 字舞流文

A nonlinear partial integro-differential equation from mathematical finance

We study a nonlinear partial integrodifferential equation arising in the calibration of stochastic volatility models to a market of vanilla options.

Frédéric Abergel | Remi Tachet | F. Abergel | R. Tachet

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