A remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricing

DOI10.1016/S0034-4877(15)30006-9zbMath1321.35076OpenAlexW314687408MaRDI QIDQ2349735

Sergio A. Albeverio, Fabio Rinaldi, Silvestro Fassari

Publication date: 17 June 2015

Published in: Reports on Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0034-4877(15)30006-9

zbMATH Keywords

heat equationBrownian motionoption pricingheat kernellocal timeFeynman-Kac formulapoint interactionsBlack-Scholes equation

Mathematics Subject Classification ID

Cites Work

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