39 citations · 69 across the 9 of their papers we have counts for
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math.AP2012
Feynman-Kac theorems for generalized diffusions
Erik Ekström, Svante Janson, Johan Tysk
We find Feynman-Kac type representation theorems for generalized diffusions. To do this we need to establish existence, uniqueness and regularity results for equations with measure…
math.AP2006
Convexity preserving jump-diffusion models for option pricing
Erik Ekström, Johan Tysk
We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility…
math.AP2005
A boundary point lemma for Black-Scholes type operators
Erik Ekström, Johan Tysk
We prove a sharp version of the Hopf boundary point lemma for Black-Scholes type equations. We also investigate the existence and the regularity of the spatial derivative of the so…