Elements of calculus of pseudodifferential operators

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
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Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 16 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 365-383 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Basics of the theory of PDO with symbols of the class $S^{m}_{1,0}(R^{n} \times R^{n})$Asymptotic summation and the composition theoremParametrix and approximate square rootBoundedness theoremThe inverse operator and the square rootOperators depending on parametersOperators with symbols holomorphic in a tube domainProofs of auxiliary technical resultsChange of variables and pricing of multi-asset contractsPricing of barrier options under Lévy-like Feller processes

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
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