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Parabolic PDEs with variable coefficients: existence

  • Andrea Pascucci
Part of the Bocconi & Springer Series book series (BS)

Abstract

The Black-Scholes model is based upon the results of existence and uniqueness for parabolic equations with constant coefficients, in particular for the heat equation. The study of more sophisticated diffusion models requires analogous results for differential operators with variable coefficients.

Keywords

Cauchy Problem Maximum Principle Fundamental Solution Strong Solution Implied Volatility 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Andrea Pascucci
    • 1
  1. 1.Department of MathematicsUniversity of BolognaBologna

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