Solutions to integro-differential problems arising on pricing options in a Lévy market

DOI10.1007/s10440-012-9687-1zbMath1235.91183OpenAlexW1977762948MaRDI QIDQ411469

Pablo Amster, Indranil SenGupta, Maria Christina Mariani

Publication date: 4 April 2012

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-012-9687-1

zbMATH Keywords

upper and lower solutionsspherical harmonicsintegro-differential operatorfinancial marketLévy model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

Related Items (2)

On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models ⋮ Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance

Cites Work

• The Pricing of Options and Corporate Liabilities
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Differential operator related to the generalized superradiance integral equation
• Solutions to a stationary nonlinear Black-Scholes type equation
• Homotopy perturbation technique
• An extension of Tietze's theorem
• Minimum-Relative-Entropy Calibration of Asset-Pricing Models
• Computing the implied volatility in stochastic volatility models
• On the Existence of Maximal and Minimal Solutions for Parabolic Partial Differential Equations
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