Timeline for Boundary conditions of PDE from SV model with stochastic interest rate
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 27, 2015 at 13:48 | vote | accept | Roozbe | ||
| Jul 6, 2015 at 16:47 | |||||
| Jun 26, 2015 at 15:19 | comment | added | user16651 | Why??? when $\sigma\rightarrow\infty$ then $\S_T\rightarrow\infty$ | |
| Jun 26, 2015 at 12:47 | comment | added | q.t.f. | I think the $\sigma\to\infty$ limit is wrong: should be $K$ as for Black-Scholes as long as $a(\sigma)$ doesn't grow too fast. | |
| Jun 26, 2015 at 10:32 | history | edited | user16651 | CC BY-SA 3.0 |
deleted 5 characters in body
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| Jun 25, 2015 at 19:57 | vote | accept | Roozbe | ||
| Jun 27, 2015 at 12:27 | |||||
| Jun 25, 2015 at 18:20 | history | answered | user16651 | CC BY-SA 3.0 |