scientific article; zbMATH DE number 5714028

MaRDI QIDQ3563146zbMATH OpenFDO

Authors Ionut Florescu, Maria C. Mariani

Publication date 31 May 2010

Full work available at URL https://eudml.org/doc/233200, http://www.emis.de/journals/EJDE/Volumes/2010/62/abstr.html

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zbMATH Keywords

diagonal argumentjumps processeslower solutionstochastic volatilityupper solution

Mathematics Subject Classification ID

Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Integro-partial differential equations (35R09) PDEs with randomness, stochastic partial differential equations (35R60) Integro-partial differential equations (45K05) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

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Cited in

(13)

• On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
• Integro-differential equations for option prices in exponential Lévy models
• A parabolic problem arising in financial mathematics
• A system of non-local parabolic PDE and application to option pricing
• Numerical solutions for option pricing models including transaction costs and stochastic volatility
• Solutions to integro-differential problems arising on pricing options in a Lévy market
• Numerical methods applied to option pricing models with transaction costs and stochastic volatility
• Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
• Distribution-valued weak solutions to a parabolic problem arising in financial mathematics
• Solutions to a partial integro-differential parabolic system arising in the pricing of financial options in regime-switching jump diffusion models
• Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
• An existence result for two-dimensional parabolic integro-differential equations involving CEV model
• Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market

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