On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
Author:
Funder
VEGA
Faculdade de Ciências e Tecnologia, Universidade Nova de Lisboa
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Engineering
Link
http://link.springer.com/content/pdf/10.1007/s13160-020-00414-2.pdf
Reference41 articles.
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2. Alvarez, O., Tourin, A.: Viscosity solutions of nonlinear integro-differential equations. Ann. Inst. H. Poincaré Anal. Non Linéaire 13(3), 293–317 (1996)
3. Applebaum, D.: Lévy Processes and Stochastic Calculus volume 116 of Cambridge Studies in Advanced Mathematics, 2nd edn. Cambridge University Press, Cambridge (2009)
4. Arregui, I., Salvador, B., Ševčovič, D., Vázquéz, C.: Total value adjustment for european options with two stochastic factors. Mathematical model, analysis and numerical simulation. Comput. Math. Appl. 76(4), 725–740 (2018)
5. Arregui, I., Salvador, B., Ševčovič, D., Vázquéz, C.: Mathematical analysis of a nonlinear PDE model for European options with counterparty risk. Comptes Rendus Mathematique 357(3), 252–257 (2019)
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