A comprehensive mathematical approach to exotic option pricing

DOI10.1002/mma.2519zbMath1247.91176OpenAlexW2010275083MaRDI QIDQ2910830

Rossella Agliardi

Publication date: 11 September 2012

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.2519

zbMATH Keywords

Lévy processesoption pricingpseudodifferential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Spectral theory and eigenvalue problems for partial differential equations (35P99) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Option pricing under some Lévy-like stochastic processes ⋮ General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs

Cites Work

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