39 citations · 73 across the 8 of their papers we have counts for
5 papers · 1 filter
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…
Convexity theory for the term structure equation
Erik Ekstrom, Johan Tysk
We study convexity and monotonicity properties for prices of bonds and bond options when the short rate is modeled by a diffusion process. We provide conditions under which convexi…
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…
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…
Properties of option prices in models with jumps
Erik Ekström, Johan Tysk
We study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro-differential equations. Con…