Asymptotics for $$d$$ -Dimensional Lévy-Type Processes

DOI10.1007/978-3-319-11605-1_12zbMath1418.91525arXiv1404.3153OpenAlexW2108603307MaRDI QIDQ4560337

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.3153

zbMATH Keywords

Lévy processesasymptotic approximationintegro-differential equationparametrixmulti-dimensional Lévy-type process with killing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio ⋮ Pricing approximations and error estimates for local Lévy-type models with default

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