Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market

DOI10.1016/j.nonrwa.2011.05.010zbMath1231.35266OpenAlexW2057937246MaRDI QIDQ660712

Maria Christina Mariani, Indranil SenGupta

Publication date: 5 February 2012

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2011.05.010

zbMATH Keywords

integro-differential equationsfinancial mathematicsSchaefer's fixed point theorem

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Weak solutions to PDEs (35D30) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (5)

Option pricing under a jump-telegraph diffusion model with jumps of random size ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models ⋮ An integro-differential parabolic variational inequality arising from the valuation of double barrier American option ⋮ Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance

Cites Work

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• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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