Classification of Lévy processes with parabolic Kolmogorov backward equations
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Publication:2821763
option pricingGalerkin methodweak solutionsparabolic evolution equationSobolev-Slobodeckii spacesPIDEsLévy processessymbol of a Lévy process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (45K05) Second-order parabolic equations (35K10) Ill-posed problems for PDEs (35R25) Generalized stochastic processes (60G20) Probabilistic potential theory (60J45)
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- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
- Computational methods for quantitative finance. Finite element methods for derivative pricing
- Estimation of the activity of jumps in time-changed Lévy models
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Fast deterministic pricing of options on Lévy driven assets
- Feynman-Kac-formulas for option price valuation in Lévy models.
- Galerkin Finite Element Methods for Parabolic Problems
- Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
- Monte Carlo option pricing for tempered stable (CGMY) processes
- On the existence of smooth densities for jump processes
- Variational solutions of the pricing PIDEs for European options in Lévy models
- Wavelet Discretizations of Parabolic Integrodifferential Equations
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(6)- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- Criteria for the finiteness of the strong \(p\)-variation for Lévy-type processes
- Monte Carlo method for pricing lookback type options in Lévy models
- A Flexible Galerkin Scheme for Option Pricing in Lévy Models
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
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