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Variational Solutions of the Pricing PIDEs for European Options in Lévy Models - MaRDI portal

Variational Solutions of the Pricing PIDEs for European Options in Lévy Models (Q4586315)

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scientific article; zbMATH DE number 6935840
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English
Variational Solutions of the Pricing PIDEs for European Options in Lévy Models
scientific article; zbMATH DE number 6935840

    Statements

    title
    Variational Solutions of the Pricing PIDEs for European Options in Lévy Models (English)
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    author
    Ernst Eberlein
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    Kathrin Glau
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    publication date
    12 September 2018
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    zbMATH Keywords
    Lévy processes
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    weak solutions
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    parabolic evolution equation
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    Sobolev-Slobodeckii-spaces
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    wavelet-Galerkin method
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    option pricing
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65M60
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    91G20
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    60G51
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    zbMATH DE Number
    6935840
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    OpenAlex ID
    W1972165439
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