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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Glau, Kathrin 
Titel:
Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations 
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 Lévy 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 integr...    »
 
Stichworte:
Lévy processes, PIDEs, symbol of a Léevy process, weaksolutions, parabolic evolution equation, Sobolev-Slobodeckii spaces, Galerkin method, option pricing 
Zeitschriftentitel:
SIAM Journal Theory of Probability and Its Application 
Jahr:
2016 
Heft / Issue:
60/3 
Seitenangaben Beitrag:
383–406 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik