FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS

DOI10.1112/S0024609306018194zbMATH Open1110.35021OpenAlexW2122197790MaRDI QIDQ5289914FDOQ5289914

Publication date: 19 April 2006

Published in: Bulletin of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1112/s0024609306018194

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Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (36)

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A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
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Title not available (Why is that?)
Singular risk-neutral valuation equations
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Solving elliptic equations with Brownian motion: bias reduction and temporal difference learning
Affine models with path-dependence under parameter uncertainty and their application in finance
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Feynman–Kac formulas for regime-switching jump diffusions and their applications
Partial differential equation pricing of contingent claims under stochastic correlation
The Black-Scholes Equation and Certain Quantum Hamiltonians
Pricing American put option using RBF-NN: new simulation of Black-Scholes
MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES
Boundary values and finite difference methods for the single factor term structure equation
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Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors
Pricing joint claims on an asset and its realized variance in stochastic volatility models
A boundary point lemma for Black-Scholes type operators
A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
The stochastic solution to a Cauchy problem for degenerate parabolic equations
Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure
Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

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