Adjoint Expansions in Local Lévy Models
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Publication:2873128
DOI10.1137/110858732zbMath1285.60084MaRDI QIDQ2873128
Stefano Pagliarani, Candia Riga, Andrea Pascucci
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/35788/3/MPRA_paper_35788.pdf
Lévy process; analytical approximation; local volatility; partial integro-differential equation; Fourier methods
60H30: Applications of stochastic analysis (to PDEs, etc.)
35R60: PDEs with randomness, stochastic partial differential equations
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