A comprehensive mathematical approach to exotic option pricing
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Publication:2910830
DOI10.1002/mma.2519zbMath1247.91176MaRDI QIDQ2910830
Publication date: 11 September 2012
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.2519
60G51: Processes with independent increments; Lévy processes
35P99: Spectral theory and eigenvalue problems for partial differential equations
91G20: Derivative securities (option pricing, hedging, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
Related Items
Option pricing under some Lévy-like stochastic processes, General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs
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