A PDE approach to jump-diffusions

DOI10.1080/14697688.2010.531042zbMath1232.91652OpenAlexW3124878934MaRDI QIDQ2994851

Peter Carr, Laurent Cousot

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.531042

zbMATH Keywords

optionsmartingalescalibrationpartial differential equationsjump-diffusion processes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Variations of the solution to a fourth order time-fractional stochastic partial integro-differential equation ⋮ A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models ⋮ Characteristic functions and option valuation in a Markov chain market ⋮ Time-fractional and memoryful \(\Delta^{2^{k}}\) SIEs on \(\mathbb{R}_{+}\times\mathbb{R}^{d}\): how far can we push white noise? ⋮ L-Kuramoto-Sivashinsky SPDEs in one-to-three dimensions: L-KS kernel, sharp Hölder regularity, and Swift-Hohenberg law equivalence ⋮ Joint distribution of a Lévy process and its running supremum

Cites Work

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• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles
• Expensive martingales
• Diffusion processes with continuous coefficients, I
• Diffusion processes with continuous coefficients, II
• Quelques applications de la formule de changement de variables pour les semimartingales
• On the Derivatives of Solutions of Linear, Second Order, Ordinary Differential Equations

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