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http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/2865| Title: | A system of non-local parabolic PDE and application to option pricing |
| Authors: | GOSWAMI, ANINDYA Patel, Jeeten Shevgaonkar, Poorva Dept. of Mathematics |
| Keywords: | System of non-local Option pricing PDE Semi-Markov processes Volterra integral equation Non-local parabolic PDE locally risk minimizing pricing Optimal hedging 2016 |
| Issue Date: | Jul-2016 |
| Publisher: | Taylor & Francis |
| Citation: | Stochastic Analysis and Applications, 34(5), 893-905. |
| Abstract: | This article includes a proof of well posedness of an initial-boundary value problem involving a system of non-local parabolic partial differential equation (PDE), which naturally arises in the study of derivative pricing in a generalized market model, which is known as a semi-Markov modulated geometric Brownian motion (GBM) model We study the well posedness of the problem via a Volterra integral equation of second kind. A probabilistic approach, in particular the method of conditioning on stopping times is used for showing the uniqueness. |
| URI: | http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/2865 https://doi.org/10.1080/07362994.2016.1189340 |
| ISSN: | 0736-2994 1532-9356 |
| Appears in Collections: | JOURNAL ARTICLES |
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