Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market

DOI10.1016/J.NONRWA.2011.05.010MaRDI QIDQ660712zbMATH OpenOpenAlexFDO

Authors Maria C. Mariani, Indranil SenGupta

Publication date 5 February 2012

Published in Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nonrwa.2011.05.010

zbMATH Keywords

financial mathematicsintegro-differential equationsSchaefer's fixed point theorem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Weak solutions to PDEs (35D30) Second-order parabolic equations (35K10) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 5714028 (Why is no real title available?)
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• A Risk-Neutral Stochastic Volatility Model
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Computing the implied volatility in stochastic volatility models
• Differential operator related to the generalized superradiance integral equation
• Elliptic and parabolic equations
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Spectral analysis for a three-dimensional superradiance problem
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
• The pricing of options and corporate liabilities

Cited in

(16)

• Integro-differential equations for option prices in exponential Lévy models
• Solutions to integro-differential problems arising on pricing options in a Lévy market
• Value function regularity in option pricing problems under a pure jump model
• An existence result for two-dimensional parabolic integro-differential equations involving CEV model
• On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
• Distribution-valued weak solutions to a parabolic problem arising in financial mathematics
• Solutions to a partial integro-differential parabolic system arising in the pricing of financial options in regime-switching jump diffusion models
• Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
• Option pricing under a jump-telegraph diffusion model with jumps of random size
• An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
• Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
• Existence, uniqueness and numerical approximation of solutions to a nonlinear integro-differential equation which arises in option pricing theory
• scientific article; zbMATH DE number 5714028 (Why is no real title available?)
• Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
• A system of non-local parabolic PDE and application to option pricing
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model

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