We present a survey of various applications of pseudodifferential equations to finance. The use of pseudodifferential operators in this field is related to the adoption of Lévy processes to model the reference asset. An extensive presentation of the theory is offered in the monography by Boyarchenko and Levendorskĭ (2001). In this article, we present some extensions obtained by the author, including a comprehensive formula that is useful to price several exotic options under Lévy processes.
Rossella Agliardi (2019). Pseudodifferential equations in finance. American Institute of Physics [10.1063/1.5127463].
Pseudodifferential equations in finance
Rossella Agliardi
2019
Abstract
We present a survey of various applications of pseudodifferential equations to finance. The use of pseudodifferential operators in this field is related to the adoption of Lévy processes to model the reference asset. An extensive presentation of the theory is offered in the monography by Boyarchenko and Levendorskĭ (2001). In this article, we present some extensions obtained by the author, including a comprehensive formula that is useful to price several exotic options under Lévy processes.File in questo prodotto:
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