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
Autores principales: Sengupta, I., Mariani, M.C., Amster, P.
Formato: JOUR
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: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

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