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).

Voir la notice de l'article provenant de la source Electronic Library of Mathematics

Summary: 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__a65,
     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},
     publisher = {mathdoc},
     volume = {2010},
     year = {2010},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/EJDE_2010__2010__a65/}
}
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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__a65/