Solutions to integro-differential problems arising on pricing options in a Lévy market

We study an integro-differential parabolic problem arising in Financial Mathematics. Under suitable conditions, we prove the existence of solutions for a multi-asset case in a general domain using the method of upper and lower solutions and a diagonal argument. We also model the jump in the related...

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Detalles Bibliográficos
Publicado:	2012
Materias:	Financial market Integro-differential operator Levy model Spherical harmonics Upper and lower solutions Brownian movement Differential equations Mathematical operators Harmonic analysis
Acceso en línea:	https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01678019_v118_n1_p237_Sengupta http://hdl.handle.net/20.500.12110/paper_01678019_v118_n1_p237_Sengupta
Aporte de:	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

id	paper:paper_01678019_v118_n1_p237_Sengupta
record_format	dspace
spelling	paper:paper_01678019_v118_n1_p237_Sengupta2023-06-08T15:16:56Z Solutions to integro-differential problems arising on pricing options in a Lévy market Financial market Integro-differential operator Levy model Spherical harmonics Upper and lower solutions Financial market Integro-differential operator Levy model Spherical harmonics Upper and lower solutions Brownian movement Differential equations Mathematical operators Harmonic analysis We study an integro-differential parabolic problem arising in Financial Mathematics. Under suitable conditions, we prove the existence of solutions for a multi-asset case in a general domain using the method of upper and lower solutions and a diagonal argument. We also model the jump in the related integro differential equation and give a solution procedure for that model assuming that the brownian motions are not correlated. For a bounded domain, this model for the jump gives an elegant expression of the solution in terms of hyper-spherical harmonics. © 2012 Springer Science+Business Media B.V. 2012 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01678019_v118_n1_p237_Sengupta http://hdl.handle.net/20.500.12110/paper_01678019_v118_n1_p237_Sengupta
institution	Universidad de Buenos Aires
institution_str	I-28
repository_str	R-134
collection	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic	Financial market Integro-differential operator Levy model Spherical harmonics Upper and lower solutions Financial market Integro-differential operator Levy model Spherical harmonics Upper and lower solutions Brownian movement Differential equations Mathematical operators Harmonic analysis
spellingShingle	Financial market Integro-differential operator Levy model Spherical harmonics Upper and lower solutions Financial market Integro-differential operator Levy model Spherical harmonics Upper and lower solutions Brownian movement Differential equations Mathematical operators Harmonic analysis Solutions to integro-differential problems arising on pricing options in a Lévy market
topic_facet	Financial market Integro-differential operator Levy model Spherical harmonics Upper and lower solutions Financial market Integro-differential operator Levy model Spherical harmonics Upper and lower solutions Brownian movement Differential equations Mathematical operators Harmonic analysis
description	We study an integro-differential parabolic problem arising in Financial Mathematics. Under suitable conditions, we prove the existence of solutions for a multi-asset case in a general domain using the method of upper and lower solutions and a diagonal argument. We also model the jump in the related integro differential equation and give a solution procedure for that model assuming that the brownian motions are not correlated. For a bounded domain, this model for the jump gives an elegant expression of the solution in terms of hyper-spherical harmonics. © 2012 Springer Science+Business Media B.V.
title	Solutions to integro-differential problems arising on pricing options in a Lévy market
title_short	Solutions to integro-differential problems arising on pricing options in a Lévy market
title_full	Solutions to integro-differential problems arising on pricing options in a Lévy market
title_fullStr	Solutions to integro-differential problems arising on pricing options in a Lévy market
title_full_unstemmed	Solutions to integro-differential problems arising on pricing options in a Lévy market
title_sort	solutions to integro-differential problems arising on pricing options in a lévy market
publishDate	2012
url	https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01678019_v118_n1_p237_Sengupta http://hdl.handle.net/20.500.12110/paper_01678019_v118_n1_p237_Sengupta
_version_	1768541702011748352

Solutions to integro-differential problems arising on pricing options in a Lévy market

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