Adjoint Expansions in Local Lévy Models (Q2873128)

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Adjoint Expansions in Local Lévy Models
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    title
    Adjoint Expansions in Local Lévy Models (English)
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    DOI
    10.1137/110858732
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    author
    Stefano Pagliarani
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    Andrea Pascucci
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    Candia Riga
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    publication date
    23 January 2014
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    Mathematics Subject Classification ID
    60J75
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    35R60
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    60H30
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    zbMATH DE Number
    6249462
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    zbMATH Keywords
    Lévy process
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    local volatility
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    analytical approximation
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    partial integro-differential equation
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    Fourier methods
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