Solutions to integro-differential parabolic problems arising in the pricing of financial options in a levy market

Ionuţ Florescu, Maria Cristina Mariani

Research output: Contribution to journalArticlepeer-review

18 Scopus citations

Abstract

We study an integro-differential parabolic problem modelling a process with jumps and stochastic volatility in financial mathematics. Under suitable conditions, we prove the existence of solutions in a general domain using the method of upper and lower solutions and a diagonal argument.

Original languageEnglish
Pages (from-to)1-10
Number of pages10
JournalElectronic Journal of Differential Equations
Volume2010
StatePublished - 2010

Keywords

  • Financial mathematics
  • Integro-differential parabolic equations
  • Jumps processes
  • Levy markets
  • Stochastic volatility

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