A PDE approach to jump-diffusions
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Cites work
- A note on option pricing for the constant elasticity of variance model
- Brownian-time processes: The PDE connection and the half-derivative generator
- Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
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- Diffusion processes associated with L�vy generators
- Diffusion processes with continuous coefficients, I
- Diffusion processes with continuous coefficients, II
- Expensive martingales
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- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Local martingales, bubbles and option prices
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- On the Derivatives of Solutions of Linear, Second Order, Ordinary Differential Equations
- Quelques applications de la formule de changement de variables pour les semimartingales
- Sur l'int�grabilit� uniforme des martingales exponentielles
- The cumulant process and Esscher's change of measure
- The parabolic differential equations and the associated semigroups of transformation
- The pricing of options and corporate liabilities
- THE RANGE OF TRADED OPTION PRICES
Cited in
(16)- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- Variations of the solution to a fourth order time-fractional stochastic partial integro-differential equation
- Forward equations for option prices in semimartingale models
- Estimation of partial differential equations with applications in finance
- The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Calibration and hedging under jump diffusion
- Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
- On the construction of non-affine jump-diffusion models
- THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS
- Joint distribution of a Lévy process and its running supremum
- Time-fractional and memoryful \(\Delta^{2^{k}}\) SIEs on \(\mathbb{R}_{+}\times\mathbb{R}^{d}\): how far can we push white noise?
- Explicit constructions of martingales calibrated to given implied volatility smiles
- L-Kuramoto-Sivashinsky SPDEs in one-to-three dimensions: L-KS kernel, sharp Hölder regularity, and Swift-Hohenberg law equivalence
- Characteristic functions and option valuation in a Markov chain market
- Stochastic differential equations with diffusion and jumps modeling currency markets
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