A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
Year of publication: |
October 2016
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Authors: | Glau, Kathrin |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 4, p. 1021-1059
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Subject: | Time-inhomogeneous Lévy process | Killing rate | Feynman-Kac representation | Weak solution, variational solution | Parabolic evolution equation | Partial integro-differential equation | Pseudo-differential equation | Nonlocal operator | Fractional Laplace operator | Sobolev-Slobodeckii spaces | Option pricing | Laplace transform of occupation time | Employee option | Galerkin method | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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