Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing (Q4988556)
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scientific article; zbMATH DE number 7348566
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| English | Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing |
scientific article; zbMATH DE number 7348566 |
Statements
Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing (English)
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17 May 2021
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viscosity solutions
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option pricing
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multivariate stochastic volatility model with jumps
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maximum principle
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0.8336148858070374
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0.826209545135498
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0.820091187953949
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0.8192525506019592
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