Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model

DOI10.1080/17442508.2018.1499100zbMATH Open1494.91160OpenAlexW2884733838WikidataQ115549610 ScholiaQ115549610MaRDI QIDQ5086465FDOQ5086465

Authors: Romuald Hervé Momeya 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2018.1499100

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zbMATH Keywords

comparison principleregime-switching modelviscosity solutionsfinite differences methodpartial integro-differential equationsLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (45K05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cited In (3)

• General methods for bounding multidimensional ruin probabilities in regime-switching models
• Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
• Multivariate European option pricing in a Markov-modulated Lévy framework

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