Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Levy market Article

Mariani, Maria C, SenGupta, Indranil, Salas, Marc. (2012). Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Levy market . JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 385(1), 36-48. 10.1016/j.jmaa.2011.06.029

cited authors

  • Mariani, Maria C; SenGupta, Indranil; Salas, Marc

sustainable development goals

authors

publication date

  • January 1, 2012

published in

keywords

  • Gradient-dependent problems
  • Integro-differential parabolic equations
  • Levy market
  • Mathematics
  • Mathematics, Applied
  • Physical Sciences
  • STOCHASTIC VOLATILITY
  • Science & Technology

Digital Object Identifier (DOI)

publisher

  • ACADEMIC PRESS INC ELSEVIER SCIENCE

start page

  • 36

end page

  • 48

volume

  • 385

issue

  • 1