Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations.
Peter HeppergerPublished in: SIAM J. Financial Math. (2010)
Keyphrases
- differential equations
- hilbert space
- option pricing
- diffusion models
- continuous functions
- dynamical systems
- social networks
- numerical solution
- numerical methods
- markov chain
- partial differential equations
- convex sets
- higher order
- state space
- image analysis
- multivariate time series
- feature vectors
- artificial neural networks
- feature extraction
- neural network