Title

Solutions to a Partial Integro-Differential Parabolic System Arising in the Pricing of Financial Options in Regime- Switching Jump Diffusion Models

Publication Date

1-1-2012

Document Type

Article

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.

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