Multidimensional Feller Processes

Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter
Additional contact information
Norbert Hilber: Zurich University of Applied Sciences
Oleg Reichmann: Swiss Federal Institute of Technology (ETH)
Christoph Schwab: Swiss Federal Institute of Technology (ETH)
Christoph Winter: Allianz Deutschland AG

Chapter Chapter 16 in Computational Methods for Quantitative Finance, 2013, pp 247-267 from Springer

Abstract: Abstract In this chapter, we extend the setting of Chap. 14 to a more general class of processes. We consider a large class of Markov processes in the following. Under certain assumptions we can apply the theory of pseudodifferential operators in order to analyse the arising pricing equations. The dependence structure of the purely discontinuous part of the market model X is described using Lévy copulas. Wavelets are used for the discretization and preconditioning of the arising PIDEs, which are of variable order with the order depending on the jump state.

Keywords: Option Price; Market Model; Variable Order; Pseudodifferential Operator; Infinitesimal Generator (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-35401-4_16

Ordering information: This item can be ordered from
http://www.springer.com/9783642354014

DOI: 10.1007/978-3-642-35401-4_16

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().