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Journal of Applied Mathematics and 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

Received 11 January 2006; Revised 4 September 2006; Accepted 6 September 2006

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.