Youssef, El-Khatib - In: Mathematical Economics Letters 2 (2014) 3-4, pp. 6-6
We investigate a solution for the option pricing partial differential equation (PDE) in a market suffering from a financial crisis. The post-crash model assumes that the volatility is stochastic. It is an extension of the famous Black and Scholes model. Therefore, the option pricing PDE for the...