FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS

DOI10.1112/S0024609306018194MaRDI QIDQ5289914zbMATH OpenOpenAlexFDO

Authors Svante Janson, Johan Tysk

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

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)

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• Distribution of the time to explosion for one-dimensional diffusions
• Feynman–Kac formulas for regime-switching jump diffusions and their applications
• Estimating residual hedging risk with least-squares Monte Carlo
• The Black-Scholes Equation and Certain Quantum Hamiltonians
• Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
• scientific article; zbMATH DE number 5139154 (Why is no real title available?)
• Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors
• Boundary values and finite difference methods for the single factor term structure equation
• Partial differential equation pricing of contingent claims under stochastic correlation
• Pricing joint claims on an asset and its realized variance in stochastic volatility models
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• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
• Default and systemic risk in equilibrium
• The stochastic solution to a Cauchy problem for degenerate parabolic equations
• MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES
• Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
• An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
• Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment
• Boundary conditions for the single-factor term structure equation
• Gamma-type operators and the Black-Scholes semigroup
• Pricing American put option using RBF-NN: new simulation of Black-Scholes
• Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure
• Optimal arbitrage under model uncertainty
• Affine models with path-dependence under parameter uncertainty and their application in finance
• Partial Schauder estimates for unbounded solutions of the Kolmogorov equation
• Bubbles, convexity and the Black-Scholes equation
• Analysis of fractals, image compression, entropy encoding, Karhunen-Loève transforms
• Improved radial basis function methods for multi-dimensional option pricing
• The Black-Scholes equation in stochastic volatility models
• On optimal arbitrage

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