Variational solutions of the pricing PIDEs for European options in Lévy models
Year of publication: |
2014
|
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Authors: | Eberlein, Ernst ; Glau, Kathrin |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 5/6, p. 417-450
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Subject: | Lévy processes | PIDEs | weak solutions | parabolic evolution equation | Sobolev-Slobodeckii-spaces | wavelet-Galerkin method | option pricing | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
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