Integro-differential equations for option prices in exponential Lévy models
From MaRDI portal
Publication:2488481
DOI10.1007/s00780-005-0153-zzbMath1096.91023OpenAlexW2068761599MaRDI QIDQ2488481
Rama Cont, Ekaterina Voltchkova
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://publications.ut-capitole.fr/2314/1/voltchkova_cont.pdf
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (72)
Exotic options under Lévy models: an overview ⋮ Isogeometric analysis in option pricing ⋮ Volterra-type integro-differential equations with two-point singular differential operator ⋮ Measuring Impact of Random Jumps Without Sample Path Generation ⋮ On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces ⋮ Comparison of numerical methods on pricing equations with non-Lévy jumps ⋮ A Flexible Galerkin Scheme for Option Pricing in Lévy Models ⋮ A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates ⋮ American-style options in jump-diffusion models: estimation and evaluation ⋮ Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ Dirichlet Forms and Finite Element Methods for the SABR Model ⋮ Spectral calibration of exponential Lévy models ⋮ Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets ⋮ Value function regularity in option pricing problems under a pure jump model ⋮ Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type ⋮ A-PINN: auxiliary physics informed neural networks for forward and inverse problems of nonlinear integro-differential equations ⋮ Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index ⋮ Numerical solution of two-dimensional nonlinear Volterra integral equations of the first kind using operational matrices of hybrid functions ⋮ A spectral element framework for option pricing under general exponential Lévy processes ⋮ A collocation method using generalized Laguerre polynomials for solving nonlinear optimal control problems governed by integro-differential equations ⋮ Intra‐Horizon expected shortfall and risk structure in models with jumps ⋮ Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions ⋮ Some classes of first-order integro-differential equations and their conjugate equations ⋮ Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications ⋮ Fitted second order numerical method for a singularly perturbed Fredholm integro-differential equation ⋮ Weak reflection principle for Lévy processes ⋮ Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option ⋮ A numerical approach for singularly perturbed reaction diffusion type Volterra-Fredholm integro-differential equations ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Option pricing in illiquid markets: a fractional jump-diffusion approach ⋮ Stochastic transmission in epidemiological models ⋮ NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING ⋮ Unnamed Item ⋮ A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk ⋮ Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market ⋮ On Kolmogorov equations for anisotropic multivariate Lévy processes ⋮ Splitting Methods for Fokker-Planck Equations Related to Jump-Diffusion Processes ⋮ A robust numerical method for a singularly perturbed Fredholm integro-differential equation ⋮ Identification of the local speed function in a Lévy model for option pricing ⋮ On the calibration of local jump-diffusion asset price models ⋮ On oscillation of integro-differential equations ⋮ Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation ⋮ Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models ⋮ SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW ⋮ Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models ⋮ CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES ⋮ Numerical algorithm based on extended barycentric Lagrange interpolant for two dimensional integro-differential equations ⋮ Jump-diffusion processes in random environments ⋮ Error Bounds for Small Jumps of Lévy Processes ⋮ Numerical solution of high-order Volterra-Fredholm integro-differential equations by using Legendre collocation method ⋮ Numerical methods for Lévy processes ⋮ Tangent Lévy market models ⋮ Option Pricing in Some Non-Lévy Jump Models ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ Implications of a regime-switching model on natural gas storage valuation and optimal operation ⋮ Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations ⋮ A new algorithm for the solution of nonlinear two-dimensional Volterra integro-differential equations of high-order ⋮ An improved method based on Haar wavelets for numerical solution of nonlinear integral and integro-differential equations of first and higher orders ⋮ Feynman–Kac formulas for regime-switching jump diffusions and their applications ⋮ Forward equations for option prices in semimartingale models ⋮ Option valuation under the VG process by a DG method. ⋮ Exit Problems as the Generalized Solutions of Dirichlet Problems ⋮ PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES ⋮ Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing ⋮ CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL ⋮ How to make Dupire’s local volatility work with jumps ⋮ A splitting strategy for the calibration of jump-diffusion models ⋮ A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS ⋮ Perpetual barrier options in jump-diffusion models ⋮ Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model ⋮ SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS
This page was built for publication: Integro-differential equations for option prices in exponential Lévy models
