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Titel:

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

Dokumenttyp:
Konferenzbeitrag
Art des Konferenzbeitrags:
Textbeitrag / Aufsatz
Autor(en):
Glau, K.; Eberlein, E.
Seitenangaben Beitrag:
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...     »
Herausgeber:
Vanmaele, Deelstra, De Schepper, Dhaene, Schoutens, and Vandu, editors, Handelingen
Kongress- / Buchtitel:
Contactforum Actuarial and Financial Mathematics Conference, 2011
Jahr:
2011
Reviewed:
ja
Sprache:
en
Erscheinungsform:
WWW
WWW:
http://www.afmathconf.ugent.be/FormerEditions/Proceedings2011.pdf
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