Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
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Publication:5086465
DOI10.1080/17442508.2018.1499100zbMath1494.91160OpenAlexW2884733838WikidataQ115549610 ScholiaQ115549610MaRDI QIDQ5086465
Publication date: 5 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2018.1499100
comparison principleLévy processviscosity solutionspartial integro-differential equationsregime-switching modelfinite differences method
Processes with independent increments; Lévy processes (60G51) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models
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