Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
DOI10.1016/J.NONRWA.2011.05.010zbMATH Open1231.35266OpenAlexW2057937246MaRDI QIDQ660712FDOQ660712
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
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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)
Cites Work
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Cited In (16)
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- An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- Option pricing under a jump-telegraph diffusion model with jumps of random size
- 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
- 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
- An existence result for two-dimensional parabolic integro-differential equations involving CEV model
- Integro-differential equations for option prices in exponential Lévy models
- Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
- Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
- Distribution-valued weak solutions to a parabolic problem arising in financial mathematics
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