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

Assure Lution Volatility Hedging 

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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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