TY - JOUR
T1 - Solutions to integro-differential parabolic problems arising in the pricing of financial options in a levy market
AU - Florescu, Ionuţ
AU - Mariani, Maria Cristina
PY - 2010
Y1 - 2010
N2 - 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.
AB - 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.
KW - Financial mathematics
KW - Integro-differential parabolic equations
KW - Jumps processes
KW - Levy markets
KW - Stochastic volatility
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M3 - Article
AN - SCOPUS:77955438122
VL - 2010
SP - 1
EP - 10
JO - Electronic Journal of Differential Equations
JF - Electronic Journal of Differential Equations
ER -