A partial differential equation connected to option pricing with stochastic volatility: Regularity results and discretization.
Yves AchdouBruno FranchiNicoletta TchouPublished in: Math. Comput. (2005)
Keyphrases
- option pricing
- partial differential equations
- stock price
- image denoising
- stock market
- level set
- anisotropic diffusion
- black scholes
- image processing
- non stationary
- historical data
- numerical algorithms
- image enhancement
- exchange rate
- stock exchange
- financial markets
- news articles
- decision analysis
- multiscale
- financial time series
- numerical methods
- differential equations
- energy functional
- financial data
- black scholes model
- high order
- data mining techniques
- denoising
- feature extraction