Correlations and bounds for stochastic volatility models

Musiela, Marek; Lions, Pierre-Louis

Musiela, Marek; Lions, Pierre-Louis (2007), Correlations and bounds for stochastic volatility models, Annales de l'Institut Henri Poincaré. Analyse non linéaire, 24, 1, p. 1-16. http://dx.doi.org/10.1016/j.anihpc.2005.05.007

Type

Article accepté pour publication ou publié

Date

2007

Journal name

Annales de l'Institut Henri Poincaré. Analyse non linéaire

Volume

Number

Publisher

Elsevier

Pages

1-16

Abstract (EN)

We investigate here, systematically and rigorously, various stochasticvolatilitymodels used in Mathematical Finance. Mathematically, such models involve coupled stochastic differential equations with coefficients that do not obey the natural and classical conditions required to make these models “well-posed”. And we obtain necessary and sufficient conditions on the parameters, such as correlation, of these models in order to have integrable or Lp solutions (for 1

Subjects / Keywords

stochastic volatility models