Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
Year of publication: |
2022
|
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Authors: | Gaß, Maximillian ; Glau, Kathrin |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2022, 4, p. 79-105
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Subject: | partial integrodifferential equation (PIDE) methods | finite elements | time-inhomo-geneous L'evy processes | additive processes | Sato processes | time-dependent operator option pricing |
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