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Title:

A Collection of Results on a Feynman-Kac Representation of Weak Solutions of PIDEs and on Pricing Barrier and Lookback Options in Lévy Models

Document type:
Konferenzbeitrag
Contribution type:
Textbeitrag / Aufsatz
Author(s):
Glau, K.; Eberlein, E.
Pages contribution:
29 - 39
Abstract:
Feynman-Kac formulas establish a fundamental link between conditional expectations and deterministic partial integro differential equations (PIDEs). In the context of option pricing in Lévy models, this relation has recently led to the development of various numerical methods to calculate prices via solving PIDEs. We give the precise link between certain conditional expectations and weak solutions of the corresponding PIDEs in Sobolev-Slobodeckii spaces. We apply the main result to price barrier...     »
Editor:
Vanmaele, Deelstra, De Schepper, Dhaene, Schoutens, and Vandu, editors, Handelingen
Book / Congress title:
Contactforum Actuarial and Financial Mathematics Conference, 2011
Year:
2011
Reviewed:
ja
Language:
en
Publication format:
WWW
WWW:
http://www.afmathconf.ugent.be/FormerEditions/Proceedings2011.pdf
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