Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; … - In: Annals of Finance 10 (2014) 1, pp. 71-100
Static and discrete time pricing operators for two price economies are reviewed and then generalized to the continuous time setting of an underlying Hunt process. The continuous time operators define nonlinear partial integro–differential equations that are solved numerically for the three...