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Elements of calculus of pseudodifferential operators

In: Non-Gaussian Merton-Black-Scholes Theory

Author

Listed:
  • Svetlana I. Boyarchenko

    (University of Texas at Austin, USA)

  • Sergei Z. Levendorskiĭ

    (Rostov State University of Economics, Russia)

Abstract

The following sections are included:Basics of the theory of PDO with symbols of the class $S^{m}_{1,0}(R^{n} \times R^{n})$Asymptotic summation and the composition theoremParametrix and approximate square rootBoundedness theoremThe inverse operator and the square rootOperators depending on parametersOperators with symbols holomorphic in a tube domainProofs of auxiliary technical resultsChange of variables and pricing of multi-asset contractsPricing of barrier options under Lévy-like Feller processes

Suggested Citation

  • Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Elements of calculus of pseudodifferential operators," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 16, pages 365-383, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812777485_0016
    as

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