2 papers
math.AP2021
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
Maximilian Gaß, Kathrin Glau
Two essential quantities for the analysis of approximation schemes of evolution equations are stability and convergence. We derive stability and convergence of fully discrete appro…
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…