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

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

School of Business

University of Dayton
University of Texas at El Paso

Research output: Contribution to journal › Article › peer-review

17 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 language	English
Journal	Electronic Journal of Differential Equations
Volume	2012
State	Published - 21 Dec 2012

Keywords

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

Cite this

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

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.",

keywords = "Option pricing, Partial integro-differential equations, Regime-switching jump diffusion, Upper and lower solutions",

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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

UR - https://www.scopus.com/pages/publications/84871703034

UR - https://www.scopus.com/pages/publications/84871703034#tab=citedBy

M3 - Article

AN - SCOPUS:84871703034

VL - 2012

JO - Electronic Journal of Differential Equations

JF - Electronic Journal of Differential Equations

ER -

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

Abstract

Keywords

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