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
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author Osu, B.O.
Eze, E.O.
Obasi, U.E.
Ukomah, H.I.
author_facet Osu, B.O.
Eze, E.O.
Obasi, U.E.
Ukomah, H.I.
author_sort Osu, B.O.
collection PubMed
description 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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spelling pubmed-70309992020-02-25 Existence of solutions of some boundary value problems with stochastic volatility Osu, B.O. Eze, E.O. Obasi, U.E. Ukomah, H.I. Heliyon Article 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. Elsevier 2020-02-17 /pmc/articles/PMC7030999/ /pubmed/32099930 http://dx.doi.org/10.1016/j.heliyon.2020.e03421 Text en © 2020 The Author(s) http://creativecommons.org/licenses/by-nc-nd/4.0/ This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
spellingShingle Article
Osu, B.O.
Eze, E.O.
Obasi, U.E.
Ukomah, H.I.
Existence of solutions of some boundary value problems with stochastic volatility
title Existence of solutions of some boundary value problems with stochastic volatility
title_full Existence of solutions of some boundary value problems with stochastic volatility
title_fullStr Existence of solutions of some boundary value problems with stochastic volatility
title_full_unstemmed Existence of solutions of some boundary value problems with stochastic volatility
title_short Existence of solutions of some boundary value problems with stochastic volatility
title_sort existence of solutions of some boundary value problems with stochastic volatility
topic Article
url 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
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AT ukomahhi existenceofsolutionsofsomeboundaryvalueproblemswithstochasticvolatility

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