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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Cited in

(36)

• 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
• Distribution of the time to explosion for one-dimensional diffusions
• Optimal arbitrage under model uncertainty
• Boundary conditions for the single-factor term structure equation
• Intrinsic expansions for averaged diffusion processes
• Improved radial basis function methods for multi-dimensional option pricing
• Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
• Bubbles, convexity and the Black-Scholes equation
• Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
• On optimal arbitrage
• Particle methods for PDEs arising in financial modeling
• Analysis of fractals, image compression, entropy encoding, Karhunen-Loève transforms
• Default and systemic risk in equilibrium
• A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
• An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
• Hedging under arbitrage
• Singular risk-neutral valuation equations
• scientific article; zbMATH DE number 5139154 (Why is no real title available?)
• The Black-Scholes equation in stochastic volatility models
• 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
• Gamma-type operators and the Black-Scholes semigroup
• Feynman–Kac formulas for regime-switching jump diffusions and their applications
• The Black-Scholes Equation and Certain Quantum Hamiltonians
• Partial differential equation pricing of contingent claims under stochastic correlation
• Pricing American put option using RBF-NN: new simulation of Black-Scholes
• MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES
• Estimating residual hedging risk with least-squares Monte Carlo
• Boundary values and finite difference methods for the single factor term structure equation
• Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors
• A boundary point lemma for Black-Scholes type operators
• Pricing joint claims on an asset and its realized variance in stochastic volatility models
• 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

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