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Title:

Feynman-Kac Formula for Lévy Processes with Discontinuous Killing Rate

Document type:
Zeitschriftenaufsatz
Author(s):
Glau, K.
Non-TUM Co-author(s):
nein
Cooperation:
-
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
Fulltext / DOI:
doi:10.1007/s00780-016-0301-7
WWW:
http://link.springer.com/article/10.1007/s00780-016-0301-7?view=classic
Status:
Postprint / reviewed
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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