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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| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_01678019_v118_n1_p237_Sengupta |
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todo:paper_01678019_v118_n1_p237_Sengupta2023-10-03T15:05:21Z Solutions to integro-differential problems arising on pricing options in a Lévy market Sengupta, I. Mariani, M.C. Amster, P. 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. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar 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 Sengupta, I. Mariani, M.C. Amster, P. 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. |
| format |
JOUR |
| author |
Sengupta, I. Mariani, M.C. Amster, P. |
| author_facet |
Sengupta, I. Mariani, M.C. Amster, P. |
| author_sort |
Sengupta, I. |
| 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 |
| url |
http://hdl.handle.net/20.500.12110/paper_01678019_v118_n1_p237_Sengupta |
| work_keys_str_mv |
AT senguptai solutionstointegrodifferentialproblemsarisingonpricingoptionsinalevymarket AT marianimc solutionstointegrodifferentialproblemsarisingonpricingoptionsinalevymarket AT amsterp solutionstointegrodifferentialproblemsarisingonpricingoptionsinalevymarket |
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1782030657559461888 |