An existence result for two-dimensional parabolic integro-differential equations involving CEV model

DOI10.2478/MJPAA-2023-0025MaRDI QIDQ6491289

Hassane Hjiaj, Brahim Jarmouni

Publication date: 24 April 2024

Published in: Moroccan Journal of Pure and Applied Analysis (Search for Journal in Brave)

zbMATH Keywords

existence of weak solutionoption pricingintegro-differential parabolic equationsCEV model with jumps

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Integro-differential operators (47G20) Jump processes on discrete state spaces (60J74)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• European rainbow option values under the two-asset Merton jump-diffusion model
• Asymptotic high-order schemes for integro-differential problems arising in markets with jumps
• Option pricing when underlying stock returns are discontinuous
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