Application of homotopy analysis method to option pricing under Lévy processes
DOI10.1007/s10690-013-9175-2zbMath1307.91180OpenAlexW1965622498MaRDI QIDQ2254307
Publication date: 4 February 2015
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://tsukuba.repo.nii.ac.jp/record/41153/files/APFM_21-1.pdf
Processes with independent increments; Lévy processes (60G51) Analytical theory of ordinary differential equations: series, transformations, transforms, operational calculus, etc. (34A25) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Other special methods applied to PDEs (35A25) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)
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