Advances in Decision Sciences
Volume 2006 (2006), Article ID 15609, 17 pages
doi:10.1155/JAMDS/2006/15609
Analysis of an uncertain volatility model
Marco Di Francesco
, Paolo Foschi
and Andrea Pascucci
Dipartimento di Matematica, Università di Bologna, Piazza di Porta S. Donato 5, Bologna 40126, Italy
Abstract
We examine, from both analytical and numerical viewpoints, the uncertain volatility model by Hobson-Rogers in the framework of degenerate parabolic PDEs of Kolmogorov type.