Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
DOI10.1016/J.JMAA.2011.06.029zbMATH Open1227.35144OpenAlexW2033120229MaRDI QIDQ641552FDOQ641552
Authors: Maria C. Mariani, Indranil SenGupta, Marc Salas 
Publication date: 24 October 2011
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.06.029
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Initial-boundary value problems for second-order parabolic equations (35K20) Semilinear parabolic equations (35K58) Integro-partial differential equations (35R09) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
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Cited In (13)
- Title not available (Why is that?)
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- A parabolic problem arising in financial mathematics
- Solutions to integro-differential problems arising on pricing options in a Lévy market
- Option pricing with transaction costs and stochastic interest rate
- Existence, uniqueness and numerical approximation of solutions to a nonlinear integro-differential equation which arises in option pricing theory
- Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
- Solutions to a partial integro-differential parabolic system arising in the pricing of financial options in regime-switching jump diffusion models
- A system of non-local parabolic PDE and application to option pricing
- Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
- Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
- Distribution-valued weak solutions to a parabolic problem arising in financial mathematics
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