Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing
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Publication:3079739
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
Dirichlet formsFeller processesKolmogorov equationsOption pricingSato processesWavelet discretization
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)
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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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