On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics

DOI10.1080/00036811.2021.1948536MaRDI QIDQ6042678zbMATH OpenOpenAlexFDO

Authors Marianito R. Rodrigo

Publication date 3 May 2023

Published in Applicable Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00036811.2021.1948536

zbMATH Keywords

Black-Scholes theoryjump-diffusion processMellin transformone-parameter semigroupspartial integro-differential equation

Mathematics Subject Classification ID

Transform methods (e.g., integral transforms) applied to PDEs (35A22) Integro-partial differential equations (45K05) One-parameter semigroups and linear evolution equations (47D06) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• Semigroup theory applied to options
• The Black-Scholes operator as the generator of a C₀-semigroup and applications
• An analysis of Asian options
• Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator
• A semigroup approach to generalized Black-Scholes type equations in incomplete markets

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Mellin transform approach to barrier option pricing
• A new direct method for solving the Black-Scholes equation
• A semigroup approach to generalized Black-Scholes type equations in incomplete markets
• Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 3127846 (Why is no real title available?)
• scientific article; zbMATH DE number 1250187 (Why is no real title available?)
• scientific article; zbMATH DE number 3454265 (Why is no real title available?)
• Option pricing when underlying stock returns are discontinuous
• Option pricing with Mellin transforms
• Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics
• Semigroup theory applied to options
• The Black-Scholes operator as the generator of a C₀-semigroup and applications
• The pricing of options and corporate liabilities

Cited in

(5)

• Semigroup theory applied to options
• Jumping hedges on the strength of the Mellin transform
• The Black-Scholes operator as the generator of a C₀-semigroup and applications
• scientific article; zbMATH DE number 5139154 (Why is no real title available?)
• Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator

This page was built for publication: On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6042678)