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Titel:

Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Glau, Kathrin
Nicht-TUM Koautoren:
ja
Kooperation:
international
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 integro d...     »
Stichworte:
Lévy processes, PIDEs, symbol of a Léevy process, weaksolutions, parabolic evolution equation, Sobolev-Slobodeckii spaces, Galerkin method, option pricing
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
SIAM Journal Theory of Probability and Its Application
Journal gelistet in FT50 Ranking:
nein
Jahr:
2016
Heft / Issue:
60/3
Seitenangaben Beitrag:
383–406
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1137/S0040585X97T987776
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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