%0 Journal Article
%T A numerical resolution of a European option value with a stochastic volatility
%A M. L. Hadji
%A M. R. Remita
%J Applied Mathematical Sciences
%D 2013
%I 
%X The aim of this work is to evaluate a European option with a stochas-tic volatility. For, we have a system of two stochastic dierential equa-tions (SDEs), where the rst one describes the price of the underlyingwhile the second one modelises the stochastic volatility. First we setthe inconvenience of Black and Scholes model [1] and its limits, thenwe propose a model with a stochastic volatility. For this purpose, weuse Garman partial dierential equation (GPDE) to evaluate the optionprice where solution is approached by a nite dierence method.
%K Stochastic Equations
%K Stochastic Volatility
%K Finite Differences
%U http://www.m-hikari.com/ams/ams-2013/ams-17-20-2013/hadjiAMS17-20-2013.pdf