Topics in financial and computational mathematics
In this thesis, we consider two different aspects in financial option pricing. In the first part, we consider stochastic differential equations driven by general Lévy processes (SDEs) with finite and infinite activity and the re- lated, via the Feynman-Kac formula, Dirichlet problem for integro-part...
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| Format: | Thesis (University of Nottingham only) |
| Language: | English |
| Published: |
2021
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| Online Access: | https://eprints.nottingham.ac.uk/66180/ |