Value function regularity in option pricing problems under a pure jump model

DOI10.1007/s00245-016-9350-8zbMath1406.91445MaRDI QIDQ1678504

Junjun Kang, Yanbin Tang

Publication date: 17 November 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-016-9350-8

zbMATH Keywords

regularity; option price; fractional Laplace operator; partial integro-differential operator

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

45K05: Integro-partial differential equations

60G40: Stopping times; optimal stopping problems; gambling theory

47F05: General theory of partial differential operators

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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