A system of non-local parabolic PDE and application to option pricing

DOI10.1080/07362994.2016.1189340zbMath1347.60084arXiv1506.01467OpenAlexW3103063931MaRDI QIDQ2821911

Jeeten Patel, Poorva Shevgaonkar, Anindya Goswami

Publication date: 26 September 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.01467

zbMATH Keywords

Volterra integral equationsemi-Markov processesstopping timesoptimal hedginglocally risk minimizing pricingnon-local parabolic PDE

Mathematics Subject Classification ID

Related Items (6)

Option pricing in a regime switching stochastic volatility model ⋮ Inference of binary regime models with jump discontinuities ⋮ Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes ⋮ Wavelet-optimized compact finite difference method for convection-diffusion equations ⋮ Pricing derivatives in a regime switching market with time inhomogenous volatility ⋮ Convergence of estimated option price in a regime switching market

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