A system of non-local parabolic PDE and application to option pricing (Q2821911): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1506.01467 / rank | |||
Normal rank | |||
Revision as of 08:49, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A system of non-local parabolic PDE and application to option pricing |
scientific article |
Statements
A system of non-local parabolic PDE and application to option pricing (English)
0 references
26 September 2016
0 references
semi-Markov processes
0 references
non-local parabolic PDE
0 references
locally risk minimizing pricing
0 references
optimal hedging
0 references
stopping times
0 references
Volterra integral equation
0 references
