On Kolmogorov equations for anisotropic multivariate Lévy processes

DOI10.1007/S00780-009-0108-XzbMATH Open1226.91092OpenAlexW1995653720MaRDI QIDQ650769FDOQ650769

Authors: Christoph Schwab, Nils Reich, Christoph Winter

Publication date: 27 November 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/27293

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Cites Work

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Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
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The fundamental theorem of asset pricing for unbounded stochastic processes
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Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
User’s guide to viscosity solutions of second order partial differential equations
Pseudo differential operators and Markov processes. In 3 vol. Vol. 1: Fourier analysis and semigroups
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Fast and accurate pricing of barrier options under Lévy processes
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Problèmes unilateraux
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
Exponential Hedging and Entropic Penalties
A posteriori error estimates for variable time-step discretizations of nonlinear evolution equations
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On the range of options prices
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Fast deterministic pricing of options on Lévy driven assets
Numerical solution of parabolic equations in high dimensions
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Characterization of dependence of multidimensional Lévy processes using Lévy copulas
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Non-symmetric translation invariant Dirichlet forms
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ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS

Cited In (13)

Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation
A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING
Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
\(hp\)-DGFEM for Kolmogorov-Fokker-Planck equations of multivariate Lévy processes
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 operator symbols arising from multivariate jump processes
ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
A finite elements approach for spread contract valuation via associated two-dimensional PIDE
Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
Low-rank tensor structure of linear diffusion operators in the TT and QTT formats

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