Variational Solutions of the Pricing PIDEs for European Options in Lévy Models

DOI10.1080/1350486X.2014.886817zbMath1395.91497OpenAlexW1972165439MaRDI QIDQ4586315

Kathrin Glau, Ernst Eberlein

Publication date: 12 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2014.886817

zbMATH Keywords

Lévy processesoption pricingweak solutionswavelet-Galerkin methodparabolic evolution equationSobolev-Slobodeckii-spaces

Mathematics Subject Classification ID

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)

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