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.
Pseudodifferential equations in finance / Rossella Agliardi. - STAMPA. - 2159:(2019), pp. 1-9. (Intervento presentato al convegno Sixth International Conference on New Trends in the Applications of Differential Equations in Sciences tenutosi a St. Constantine and Helena nel 1-4 luglio 2019) [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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
