FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
From MaRDI portal
Publication:5289914
DOI10.1112/S0024609306018194zbMath1110.35021OpenAlexW2122197790MaRDI QIDQ5289914
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
Initial-boundary value problems for second-order parabolic equations (35K20) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (29)
Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Distribution of the time to explosion for one-dimensional diffusions ⋮ Intrinsic expansions for averaged diffusion processes ⋮ Bubbles, convexity and the Black-Scholes equation ⋮ Analysis of fractals, image compression, entropy encoding, Karhunen-Loève transforms ⋮ Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model ⋮ Solving elliptic equations with Brownian motion: bias reduction and temporal difference learning ⋮ ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO ⋮ 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 ⋮ Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Optimal arbitrage under model uncertainty ⋮ Pricing multi-asset option problems: a Chebyshev pseudo-spectral method ⋮ A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications ⋮ Improved radial basis function methods for multi-dimensional option pricing ⋮ The stochastic solution to a Cauchy problem for degenerate parabolic equations ⋮ PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS ⋮ HEDGING UNDER ARBITRAGE ⋮ Singular risk-neutral valuation equations ⋮ DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM ⋮ The Black-Scholes equation in stochastic volatility models ⋮ On optimal arbitrage ⋮ A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation ⋮ Feynman–Kac formulas for regime-switching jump diffusions and their applications ⋮ MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES ⋮ Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation ⋮ Particle methods for PDEs arising in financial modeling
This page was built for publication: FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
