On Kolmogorov equations for anisotropic multivariate Lévy processes
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Cites work
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A posteriori error estimates for variable time-step discretizations of nonlinear evolution equations
- ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
- Approximations of small jumps of Lévy processes with a view towards simulation
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
- Exponential Hedging and Entropic Penalties
- Fast and accurate pricing of barrier options under Lévy processes
- Fast deterministic pricing of options on Lévy driven assets
- Financial Modelling with Jump Processes
- Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
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- Integro-differential equations for option prices in exponential Lévy models
- Non-symmetric translation invariant Dirichlet forms
- Numerical solution of parabolic equations in high dimensions
- On the range of options prices
- Optimal Control with State-Space Constraint. II
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- Problèmes unilateraux
- Pseudo differential operators and Markov processes. In 3 vol. Vol. 1: Fourier analysis and semigroups
- The fundamental theorem of asset pricing for unbounded stochastic processes
- User’s guide to viscosity solutions of second order partial differential equations
- Viscosity Solutions of Hamilton-Jacobi Equations
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(14)- Anisotropic operator symbols arising from multivariate jump processes
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE
- A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
- Classification of Lévy processes with parabolic Kolmogorov backward equations
- hp-DGFEM for Kolmogorov-Fokker-Planck equations of multivariate Lévy processes
- Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
- Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
- Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
- Low-rank tensor structure of linear diffusion operators in the TT and QTT formats
- Partial differential equation pricing of contingent claims under stochastic correlation
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
- ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
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