A Flexible Galerkin Scheme for Option Pricing in Lévy Models
DOI10.1137/16M1070438zbMath1416.91401arXiv1603.08216MaRDI QIDQ4553796
Publication date: 31 October 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.08216
finite element methodLévy processesoption pricingpseudodifferential operatorssymbolGalerkin approachpartial integro differential equations
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Initial value problems for PDEs with pseudodifferential operators (35S10)
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