Ionut Florescu, Ruihua Liu, Maria Cristina Mariani
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.
Submitted December 15, 2011. Published December 21, 2012.
Math Subject Classifications: 35K99, 35F99, 45K05, 45K99.
Key Words: Partial integro-differential equations; option pricing;
regime-switching jump diffusion; upper and lower solutions.
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Ionut Florescu Department of Mathematical Sciences Stevens Institute of Technology Castle Point on Hudson, Hoboken, NJ 07030, USA email: Ionut.Florescu@stevens.edu |
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Ruihua Liu Department of Mathematics University of Dayton 300 College Park, Dayton, OH 45469-2316, USA email: rliu01@udayton.edu |
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Maria Cristina Mariani Department of Mathematical Sciences The University of Texas at El Paso Bell Hall 124, El Paso, TX 79968-0514, USA email: mcmariani@utep.edu |
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