Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing

DOI10.1007/978-3-642-14007-5_3zbMath1213.91163OpenAlexW142772891MaRDI QIDQ3079739

Oleg Reichmann, Christoph Schwab

Publication date: 2 March 2011

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/155034

zbMATH Keywords

Dirichlet formsFeller processesKolmogorov equationsOption pricingSato processesWavelet discretization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES, A Convergent Difference Scheme for a Class of Partial Integro-Differential Equations Modeling Pricing under Uncertainty, CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS

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