Solutions to a partial integro-differential parabolic system arising in the pricing of financial options in regime-switching jump diffusion models

Ionut Florescu, Ruihua Liu, Maria Cristina Mariani

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16 Scopus citations

Abstract

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.

Original languageEnglish
JournalElectronic Journal of Differential Equations
Volume2012
StatePublished - 21 Dec 2012

Keywords

  • Option pricing
  • Partial integro-differential equations
  • Regime-switching jump diffusion
  • Upper and lower solutions

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