Value function regularity in option pricing problems under a pure jump model

DOI10.1007/s00245-016-9350-8zbMath1406.91445OpenAlexW2331538761MaRDI QIDQ1678504

Junjun Kang, Yanbin Tang

Publication date: 17 November 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-016-9350-8

zbMATH Keywords

regularityoption pricefractional Laplace operatorpartial integro-differential operator

Mathematics Subject Classification ID

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