Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
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- Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
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Cites work
- scientific article; zbMATH DE number 5714028 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
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- scientific article; zbMATH DE number 1870350 (Why is no real title available?)
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Cited in
(13)- scientific article; zbMATH DE number 5714028 (Why is no real title available?)
- 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 methods applied to option pricing models with transaction costs and stochastic volatility
- Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
- Distribution-valued weak solutions to a parabolic problem arising in financial mathematics
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