Geodesic
Solutions to integro-differential parabolic problems arising in the pricing of financial options in a Lévy market
Electronic journal of differential equations, Tome 2010 (2010)
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.
Classification : 35K99, 45K05
Keywords: integro-differential parabolic equations, financial mathematics 
@article{EJDE_2010__2010__a265,
     author = {Florescu,  Ionu\c{t} and Mariani,  Maria Christina},
     title = {Solutions to integro-differential parabolic problems arising in the pricing of financial options in a {L\'evy} market},
     journal = {Electronic journal of differential equations},
     year = {2010},
     volume = {2010},
     zbl = {1191.35009},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/EJDE_2010__2010__a265/}
}
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Florescu,  Ionuţ; Mariani,  Maria Christina. Solutions to integro-differential parabolic problems arising in the pricing of financial options in a Lévy market. Electronic journal of differential equations, Tome 2010 (2010). http://geodesic.mathdoc.fr/item/EJDE_2010__2010__a265/