Solutions to integro-differential problems arising on pricing options in a Lévy market
type: Item
instance of: scholarly article
title: Solutions to integro-differential problems arising on pricing options in a Lévy market
zbMATH Open document ID: 1235.91183
author: Indranil SenGupta
author: Pablo Amster
author: Maria C. Mariani
published in: Acta Applicandae Mathematicae
publication date: 2012-04-04T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35R09
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6022086
zbMATH Keywords: integro-differential operator
zbMATH Keywords: financial market
zbMATH Keywords: Lévy model
zbMATH Keywords: upper and lower solutions
zbMATH Keywords: spherical harmonics
MaRDI profile type: Publication
full work available at URL: s10440-012-9687-1
OpenAlex ID: W1977762948
cites work: Q4073917
cites work: Solutions to a stationary nonlinear Black-Scholes type equation
cites work: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
cites work: Minimum-relative-entropy calibration of asset-pricing models
cites work: On the Existence of Maximal and Minimal Solutions for Parabolic Partial Differential Equations
cites work: Computing the implied volatility in stochastic volatility models
cites work: The pricing of options and corporate liabilities
cites work: Q4794153
cites work: An extension of Tietze's theorem
cites work: Homotopy perturbation technique
cites work: Q3374320
cites work: Q4794126
cites work: Q3992729
cites work: Q4794267
cites work: Q4716216
cites work: Q4354424
cites work: Q4794152
cites work: Differential operator related to the generalized superradiance integral equation
DOI: 10.1007/S10440-012-9687-1
description: scientific article; zbMATH DE number 6022086