Solutions to Integro-Differential Parabolic Problems Arising in the Pricing of Financial Options in a Levy Market

Electronic Journal of Differential Equations, Vol. 2010 (2010), No. 62, pp. 1-10

Posted: 6 Jan 2016 Last revised: 23 Mar 2018

See all articles by Ionut Florescu

Ionut Florescu

Stevens Institute of Technology

Maria Mariani

University of Texas at El Paso

Date Written: July 4, 2010

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.

Keywords: Integro-differential parabolic equations; financial mathematics; Levy markets; jumps processes; stochastic volatility

JEL Classification: C13, C51

Suggested Citation

Florescu, Ionut and Mariani, Maria, Solutions to Integro-Differential Parabolic Problems Arising in the Pricing of Financial Options in a Levy Market (July 4, 2010). Electronic Journal of Differential Equations, Vol. 2010 (2010), No. 62, pp. 1-10. Available at SSRN: https://ssrn.com/abstract=2710894

Ionut Florescu (Contact Author)

Stevens Institute of Technology ( email )

Castle Point on the Hudson
Hoboken, NJ 07030
United States

Maria Mariani

University of Texas at El Paso ( email )

500 West University
El Paso, TX TX 79968-0545
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
106
PlumX Metrics