A continuous dependence result for ultraparabolic equations in option pricing |
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| Authors: | Marco Di Francesco |
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| Affiliation: | Dipartimento di Matematica, Università di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy |
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| Abstract: | We prove continuous dependence results for solution to the Cauchy problem related to degenerate parabolic equations arising in the valuation of financial derivatives. These results are crucial in some standard calibration procedure for recent stochastic volatility and interest rates models. |
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| Keywords: | Kolmogorov equation Ultraparabolic equation Option pricing Continuous dependence |
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