On Kolmogorov equations for anisotropic multivariate Levy processes

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Author
Reich, N.
Schwab, Christoph
Winter, C.
Date
2010-12
Type
    Journal Article
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-b-000027293
Publication status
published
External links
Journal / series
Finance and Stochastics
Volume
14(4)
Pages / Article No.
527 - 567
Publisher
Springer
Subject
Levy copulas; Levy processes; Integro-differential equations; Pseudo-differential operators; Dirichlet forms; Option pricing
Notes
Received 9 April 2008, Accepted 3 December 2008, Published online 17 December 2009. It was possible to publish this article open access thanks to a Swiss National Licence with the publisher
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