PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
By Sergei Levendorskii. 2004
151 citations recorded by the source corpus.
Subfields: Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/dd1cd32060d251e851f4bbdda703b9313021f720
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Xavier Ros-Oton
- Luis Silvestre
- M. Boyarchenko
- Sergei Levendorskii
- Russell W. Schwab
- J. Serra
- Peter Tankov
- Luis Caffarelli
In Mathematical Physics
- Xavier Ros-Oton
- Luis Silvestre
- M. Boyarchenko
- Mahamadi Warma
- Umberto Biccari
- Enrique Zuazua
- Enrico Valdinoci
- Pablo Raúl Stinga
Citations in the corpus
- Regularity of the obstacle problem for a fractional power of the laplace operator (2007, methodology): “A very readable explanation of these models can be found in the book of Cont and Tankov [6] (See also [10] and [11]).”
- Nonlocal elliptic equations in bounded domains: a survey (2015, background): “In applications, this type of nonlocal problems appear in models involving “anomalous diffusions” (in which the underlying stochastic process is not given by Brownian motion), or in the presence of long-range interactions or forces.”
- VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (2009, methodology): “In certain cases, such as the Black–Scholes model or doubleexponential jump-diffusion model or more general jump-diffusion models (Levendorskiı̆ 2004), φ±q (ξ ) are rational functions that are given by explicit formulas.”
- The concentration-compactness principle for fractional order Sobolev spaces in unbounded domains and applications to the generalized fractional Brezis–Nirenberg problem (2018, unknown): “Just to cite a few we refer to [16,17,19,22,27,44] for some physical models, [1,23,34] for some applications in finances, [13] for applications in fluid dynamics, [21,26,32] for application in ecology and [20] for some applications in image processing.”
- Local Elliptic Regularity for the Dirichlet Fractional Laplacian (2017, background): “Also, it is well known that the fractional Laplacian is the generator of s-stable processes, and it is often used in stochastic models with applications, for instance, in mathematical finance [20, 23].”