Abstract
The Black-Scholes model is based upon the results of existence and uniqueness for parabolic equations with constant coefficients, in particular for the heat equation. The study of more sophisticated diffusion models requires analogous results for differential operators with variable coefficients.
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© 2011 Springer-Verlag Italia
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Pascucci, A. (2011). Parabolic PDEs with variable coefficients: existence. In: PDE and Martingale Methods in Option Pricing. Bocconi & Springer Series. Springer, Milano. https://doi.org/10.1007/978-88-470-1781-8_8
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DOI: https://doi.org/10.1007/978-88-470-1781-8_8
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-1780-1
Online ISBN: 978-88-470-1781-8
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