Existence of solutions of some boundary value problems with stochastic volatility

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...

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Detalles Bibliográficos
Autores principales: Osu, B.O., Eze, E.O., Obasi, U.E., Ukomah, H.I.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7030999/
https://www.ncbi.nlm.nih.gov/pubmed/32099930
http://dx.doi.org/10.1016/j.heliyon.2020.e03421
Descripción
Sumario: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.

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