Adjoint Expansions in Local Lévy Models

DOI10.1137/110858732zbMath1285.60084OpenAlexW3124880381MaRDI QIDQ2873128

Stefano Pagliarani, Candia Riga, Andrea Pascucci

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/35788/3/MPRA_paper_35788.pdf

zbMATH Keywords

Lévy processanalytical approximationlocal volatilitypartial integro-differential equationFourier methods

Mathematics Subject Classification ID

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