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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2012
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| 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 |
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| Sumario: | 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. |
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