Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (Q5086465): Difference between revisions

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scientific article; zbMATH DE number 7553404

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English	Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model	scientific article; zbMATH DE number 7553404

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instance of

scholarly article

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title

Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (English)

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5 July 2022

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zbMATH Keywords

viscosity solutions

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Lévy process

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regime-switching model

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partial integro-differential equations

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finite differences method

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comparison principle

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/17442508.2018.1499100

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cites work

Viscosity solutions of nonlinear integro-differential equations

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Lévy Processes and Stochastic Calculus

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Second-order elliptic integro-differential equations: viscosity solutions' theory revisited

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Option pricing with transaction costs and a nonlinear Black-Scholes equation

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Q3355178

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Backward stochastic differential equations and integral-partial differential equations

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Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution

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Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes

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The Pricing of Options and Corporate Liabilities

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Pricing exotic options under regime switching

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Q4438197

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AMERICAN OPTIONS WITH REGIME SWITCHING

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Markov additive processes. I

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Markov additive processes. II

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Financial Modelling with Jump Processes

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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

0 references

Integro-differential equations for option prices in exponential Lévy models

0 references

Viscosity Solutions of Hamilton-Jacobi Equations

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User’s guide to viscosity solutions of second order partial differential equations

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New finite-dimensional filters and smoothers for noisily observed Markov chains

0 references

Option pricing for pure jump processes with Markov switching compensators

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Asset Prices With Regime-Switching Variance Gamma Dynamics

0 references

Option pricing and Esscher transform under regime switching

0 references

Markov Processes with Homogeneous Second Component. I

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Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group

0 references

Q4544929

0 references

Q4176256

0 references

A Regime-Switching Model of Long-Term Stock Returns

0 references

Martingales and stochastic integrals in the theory of continuous trading

0 references

A stochastic calculus model of continuous trading: Complete markets

0 references

Option pricing in a regime-switching model using the fast Fourier transform

0 references

Q4905685

0 references

The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model

0 references

On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model

0 references

Applied stochastic control of jump diffusions.

0 references

Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels

0 references

Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels

0 references

Theory of stochastic differential equations with jumps and applications.

0 references

Optimal Control with State-Space Constraint. II

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Q3977319

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Identifiers

zbMATH Open document ID

1494.91160

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DOI

10.1080/17442508.2018.1499100

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5086465

@@ Property / cites work @@
+Viscosity solutions of nonlinear integro-differential equations
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
+Normal rank
@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Q3355178
@@ Property / cites work: Q3355178 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
+Normal rank
@@ Property / cites work @@
+Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing exotic options under regime switching
@@ Property / cites work: Pricing exotic options under regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+Q4438197
@@ Property / cites work: Q4438197 / rank @@
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Markov additive processes. I
@@ Property / cites work: Markov additive processes. I / rank @@
+Normal rank
@@ Property / cites work @@
+Markov additive processes. II
@@ Property / cites work: Markov additive processes. II / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Integro-differential equations for option prices in exponential Lévy models
+Normal rank
@@ Property / cites work @@
+Viscosity Solutions of Hamilton-Jacobi Equations
@@ Property / cites work: Viscosity Solutions of Hamilton-Jacobi Equations / rank @@
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+New finite-dimensional filters and smoothers for noisily observed Markov chains
+Normal rank
@@ Property / cites work @@
+Option pricing for pure jump processes with Markov switching compensators
+Normal rank
@@ Property / cites work @@
+Asset Prices With Regime-Switching Variance Gamma Dynamics
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Markov Processes with Homogeneous Second Component. I
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group
+Normal rank
@@ Property / cites work @@
+Q4544929
@@ Property / cites work: Q4544929 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4176256
@@ Property / cites work: Q4176256 / rank @@
+Normal rank
@@ Property / cites work @@
+A Regime-Switching Model of Long-Term Stock Returns
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+A stochastic calculus model of continuous trading: Complete markets
+Normal rank
@@ Property / cites work @@
+Option pricing in a regime-switching model using the fast Fourier transform
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
+Normal rank
@@ Property / cites work @@
+On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
+Normal rank
@@ Property / cites work @@
+Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
+Normal rank
@@ Property / cites work @@
+Theory of stochastic differential equations with jumps and applications.
+Normal rank
@@ Property / cites work @@
+Optimal Control with State-Space Constraint. II
@@ Property / cites work: Optimal Control with State-Space Constraint. II / rank @@
+Normal rank
@@ Property / cites work @@
+Q3977319
@@ Property / cites work: Q3977319 / rank @@
+Normal rank