3 citations · 3 across the 5 of their papers we have counts for
6 papers · 1 filter
Monotone methods in counterparty risk models with non-linear Black-Scholes-type equations
Bénédicte Alziary, Peter Takáč
A non-linear Black-Scholes-type equation is studied within counterparty risk models. The classical hypothesis on the uniform Lipschitz-continuity of the non-linear reaction functio…
The Heston stochastic volatility model has a boundary trace at zero volatility
Bénédicte Alziary, Peter Takáč
We establish boundary regularity results in Hölder spaces for the degenerate parabolic problem obtained from the Heston stochastic volatility model in Mathematical Finance set up i…
Sign of the solution to a non-cooperative system
Bénédicte Alziary, Jacqueline Fleckinger
Combining the results of a recent paper by Fleckinger-Hernandez-deTh{é}lin [14] for a non cooperative system with the method of PhD Thesis of MH Lecureux we compute the…
Blow up of the solutions to a linear elliptic system involving Schr{ö}dinger operators
B Alziary, J Fleckinger
We show how the solutions to a linear system involving Schr{ö}dinger operators blow up as the parameter tends to some critical value which is the principal eigenvalu…
Semi-linear cooperative elliptic systems involving Schr{ö}dinger operators: Groundstate positivity or negativity
Bénédicte Alziary, Jacqueline Fleckinger
We study here the behavior of the solutions to a semi-linear cooperative system involving Schr\" odinger operators (considered in its variational form): $$LU:=(-Δ+ q(x)…
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…