TY - JOUR
T1 - Solutions to a partial integro-differential parabolic system arising in the pricing of financial options in regime-switching jump diffusion models
AU - Florescu, Ionut
AU - Liu, Ruihua
AU - Mariani, Maria Cristina
PY - 2012/12/21
Y1 - 2012/12/21
N2 - We study a complex system of partial integro-differential equations (PIDE) of parabolic type modeling the option pricing problem in a regime-switching jump diffusion model. Under suitable conditions, we prove the existence of solutions of the PIDE system in a general domain by using the method of upper and lower solutions.
AB - We study a complex system of partial integro-differential equations (PIDE) of parabolic type modeling the option pricing problem in a regime-switching jump diffusion model. Under suitable conditions, we prove the existence of solutions of the PIDE system in a general domain by using the method of upper and lower solutions.
KW - Option pricing
KW - Partial integro-differential equations
KW - Regime-switching jump diffusion
KW - Upper and lower solutions
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M3 - Article
AN - SCOPUS:84871703034
VL - 2012
JO - Electronic Journal of Differential Equations
JF - Electronic Journal of Differential Equations
ER -