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On Kolmogorov equations for anisotropic multivariate Lévy processes · Study

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ArticleOn Kolmogorov equations for anisotropic multivariate Lévy processes

Nils Reich2009

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Articlegreen2009

On Kolmogorov equations for anisotropic multivariate Lévy processes

Nils Reich · Christoph Schwab

44 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Nonlinear Partial Differential Equations

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References

2003Financial Modelling with Jump Processes 2003Limit Theorems for Stochastic Processes 1999Option valuation using the fast Fourier transform 2002The Fine Structure of Asset Returns: An Empirical Investigation 2003Lévy processes in finance pricing financial derivatives 2003Lévy Processes in Finance 1998The fundamental theorem of asset pricing for unbounded stochastic processes 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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2009Numerical methods for Lévy processes 2019On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation

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Year2009

Typearticle

Published2009-12-16

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-009-0108-x

openalex_workW1995653720

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