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Document type:
Zeitschriftenaufsatz 
Author(s):
Glau, K. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Feynman-Kac Formula for Lévy Processes with Discontinuous Killing Rate 
Abstract:
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to compute option prices in L´evy models by solving partial integro differential equations have been developed. In order to provide a solid mathematical foundation for these methods, we derive a Feynman-Kac representation of variational solutions to partial integro...    »
 
Keywords:
Levy processes, killing rate, Feynman-Kac representation, weak solutions, parabolic evolution equation, partial integro differential equation, PIDE, pseudo differential equation 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Finance and Stochastics 
Journal listet in FT50 ranking:
nein 
Year:
2016 
Journal issue:
20/4 
Pages contribution:
1021–1059 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
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