On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models

DOI10.1007/s13160-020-00414-2zbMath1474.45064arXiv2003.03851OpenAlexW3012274810WikidataQ114220256 ScholiaQ114220256MaRDI QIDQ2227316

Daniel Ševčovič, José M. T. S. Cruz

Publication date: 15 February 2021

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.03851

zbMATH Keywords

option pricingsectorial operatoranalytic semigroupLévy measureBessel potential spacepartial integro-differential equationLévy stochastic process

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Random integral equations (45R05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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