Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations

DOI10.1137/09077271XMaRDI QIDQ3580034zbMATH OpenFDO

Authors Peter Hepperger

Publication date 11 August 2010

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/09077271X

zbMATH Keywords

European optionspartial integro-differential equationsnumerical pricingdimension reduction methodGalerkin time stepping methodHilbert space-valued jump-diffusion models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(10)

• Existence and uniqueness of martingale solutions to option pricing equations with noise
• Time series of functional data with application to yield curves
• On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
• The forward dynamics in energy markets – infinite-dimensional modelling and simulation
• Well-posed and ill-posed situations in option pricing problems when the volatility is purely time-dependent
• Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
• NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
• Low-dimensional partial integro-differential equations for high-dimensional Asian options
• Hedging electricity swaptions using partial integro-differential equations
• Explicit formula for evolution semigroup for diffusion in Hilbert space

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