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math.AP2017★ 3 cited
On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets
Bénédicte Alziary, Peter Takáč
We study the Heston model for pricing European options on stocks with stochastic volatility. This is a Black\--Scholes\--type equation whose spatial domain for the logarithmic stoc…
math.AP2017
A p(x)-version of Diaz-Saa Inequality and some applications
Jacques Giacomoni, Peter Takáč
The main result of this work is a new extension of the well known inequality by Diaz and Saa which, in our case, involves an anisotropic operator, such as the p(x)-Laplacian. Our p…