Existence of solutions of some boundary value problems with stochastic volatility

Heliyon

E.O. Eze¹  U.E. Obasi²  H.I. Ukomah²  B.O. Osu² 

[1] Corresponding author.;Department of Mathematics, Michael Okpara University of Agriculture, Umudike, Nigeria;

关键词: Computational mathematics;    Financial BVP;    Stochastic volatility;    Heat equation;    Laplace equation;   

DOI  :  

来源: DOAJ

【 摘 要 】

This paper aims at obtaining the analytical solutions of some boundary value problems garnished with stochastic volatility, price volatility risk and the risk premium. A set of functions is constructed which transforms the problem into a Laplace equation and a heat equation. The analytical solutions of these equations are obtained. Then existence of a unique solution is achieved which represents the behavior of volatile behavior of the system. Some numerical illustration of the models is obtained using the Maple software.

【 授权许可】

Unknown