Pricing derivatives under Lévy models : modern finite-difference and pseudo-differential operators approach / Andrey Itkin.

This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to the t...

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Bibliographic Details

Online Access:	Full Text (via Springer)
Main Author:	Itkin, Andrey (Author)
Format:	eBook
Language:	English
Published:	New York, NY : Birkhäuser, 2017.
Series:	Pseudo-differential operators, theory and applications ; v. 12.
Subjects:	Lévy processes. Pricing > Mathematical models.