Existence, uniqueness and numerical approximation of solutions to a nonlinear integro-differential equation which arises in option pricing theory

zbMATH Open1290.35290MaRDI QIDQ5409185FDOQ5409185

Authors: C. Erdmann 

Publication date: 14 April 2014

Full work available at URL: http://www.emis.de/journals/EJDE/conf-proc/21/e1/abstr.html

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zbMATH Keywords

option pricingintegro-differential equationfully nonlinear equationBlack-Scholes equations

Mathematics Subject Classification ID

Integro-partial differential equations (35R09) Financial applications of other theories (91G80)

Cited In (11)

• Existence and uniqueness of martingale solutions to option pricing equations with noise
• Solving a nonlinear PDE that prices real options using utility based pricing methods
• On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
• Numerical solution of systems of partial integral differential equations with application to pricing options
• Mathematical analysis of a nonlinear PDE model for European options with counterparty risk
• A system of non-local parabolic PDE and application to option pricing
• Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors
• The well-posedness of solutions for a nonlinear generalized asset pricing model
• Existence and uniqueness results for a semilinear Black-Scholes type equation
• Obstacle problem for nonlinear integro-differential equations arising in option pricing
• Uniqueness of the Solution to a Difference-Partial Differential Equation for Finance

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