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dc.contributor.authorGlau, K
dc.identifier.citationGlau, K. (2017). A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates. [online] Finance and Stochastics. Available at: [Accessed 5 Dec. 2017].en_US
dc.description.abstractThe challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to compute option prices in Lévy models by solving partial integro-differential equations have been developed. In order to provide a solid mathematical foundation for these methods, we derive a Feynman–Kac representation of variational solutions to partial integro-differential equations that characterize conditional expectations of functionals of killed time-inhomogeneous Lévy processes. We allow a wide range of underlying stochastic processes, comprising processes with Brownian part as well as a broad class of pure jump processes such as generalized hyperbolic, multivariate normal inverse Gaussian, tempered stable, and αα -semistable Lévy processes. By virtue of our mild regularity assumptions as to the killing rate and the initial condition of the partial integro-differential equation, our results provide a rigorous basis for numerous applications in financial mathematics and in probability theory. We implement a Galerkin scheme to solve the corresponding pricing equation numerically and illustrate the effect of a killing rate.en_US
dc.description.sponsorshipThe roots of the present paper go back to the author’s dissertation [17], which was financially supported by the DFG through project EB66/11-1.en_US
dc.format.extent1021 - 1059
dc.relation.ispartofFinance and Stochastics
dc.rightsOpen Access: This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (, which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
dc.titleA Feynman–Kac-type formula for Lévy processes with discontinuous killing ratesen_US
dc.rights.holder© The Author(s) 2016
pubs.organisational-group/Queen Mary University of London
pubs.organisational-group/Queen Mary University of London/Faculty of Science & Engineering
pubs.organisational-group/Queen Mary University of London/Faculty of Science & Engineering/Mathematical Sciences - Staff and Research Students

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