On the variational analysis for financial options with stochastic volatility
J. Frederic Bonnans  1, 2, *, @  
1 : Centre de Mathématiques Appliquées - Ecole Polytechnique  (CMAP)  -  Website
Polytechnique - X, CNRS : UMR7641
CMAP UMR 7641 École Polytechnique CNRS Route de Saclay 91128 Palaiseau Cedex -  France
2 : Inria
L'Institut National de Recherche en Informatique et e n Automatique (INRIA)
* : Corresponding author

We will show how to perform a variational analysis for a class of European or American options with stochastic volatility models, including the one of Heston. This involves a generalization of the commutator analysis introduced by Achdou and Tchou.

We will then discuss extensions to the corresponding Fokker-Planck equation satisfied by the law of the process.

Reference: J.F. Bonnans, A. Kroner (2018), Variational analysis for options with stochastic volatility and multiple factors. SIAM Journal on Financial Mathematics 9-2, pp. 465–492.

Subject : : Plenary talk
Topics : Plenary talk: Frédéric Bonnans
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