PDE and Martingale Methods in Option Pricing

By Andrea Pascucci. 2010

238 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a0f2ba65095e795acf3b586dc868db9ffe6198bc

Citations in the corpus

• Option pricing with linear market impact and nonlinear Black–Scholes equations (2018, unknown): “To see why a local strong solution is a true martingale, we use the property (72), which implies that Novikov’s condition (see [3]) is satisfied, and hence the martingale property.”
• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (2013, unknown): “We consider a strictly positive asset S whose risk-neutral dynamics are given by S = exp( X ) where  Sufficient conditions for the existence of a unique strong solution can be found, for example, in Ikeda and Watanabe (1989) or Pascucci (2011).”
• A survey on the classical theory for Kolmogorov equation (2019, unknown): “, for instance, [11] [59]), where, for example the equation ∂tP + 1 2σ (2)S(2)∂(2) SP + (log S)∂AP + r(S∂SP − P ) = 0, S > 0, A, t ∈ R (1.”