Variational Solutions of the Pricing PIDEs for European Options in Lévy Models

DOI10.1080/1350486X.2014.886817zbMath1395.91497MaRDI QIDQ4586315

Kathrin Glau, Ernst Eberlein

Publication date: 12 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2014.886817

zbMATH Keywords

Lévy processes; option pricing; weak solutions; wavelet-Galerkin method; parabolic evolution equation; Sobolev-Slobodeckii-spaces

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

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