7 citations · 9 across the 5 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
math.PR2016
Martingale Property in Terms of Semimartingale Problems
David Criens, Kathrin Glau
Starting from the seventies mathematicians face the question whether a non-negative local martingale is a true or a strict local martingale. In this article we answer this question…
q-fin.CP2016
A Flexible Galerkin Scheme for Option Pricing in Lévy Models
Maximilian Gaß, Kathrin Glau
One popular approach to option pricing in Lévy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powe…