Abstract
In this chapter, we extend the setting of Chap. 14 to a more general class of processes. We consider a large class of Markov processes in the following. Under certain assumptions we can apply the theory of pseudodifferential operators in order to analyse the arising pricing equations. The dependence structure of the purely discontinuous part of the market model X is described using Lévy copulas. Wavelets are used for the discretization and preconditioning of the arising PIDEs, which are of variable order with the order depending on the jump state.
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Hilber, N., Reichmann, O., Schwab, C., Winter, C. (2013). Multidimensional Feller Processes. In: Computational Methods for Quantitative Finance. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35401-4_16
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