Skip to main content
profile image
Selected Works of Ruihua Liu
Article
Solutions to a Partial Integro-Differential Parabolic System Arising in the Pricing of Financial Options in Regime- Switching Jump Diffusion Models
Departmental Papers (Math)
  • Ionut Florescu, Stevens Institute of Technology
  • Ruihua Liu, University of Dayton
  • Maria C. Mariani, University of Texas at El Paso
Link
Publication Date
1-1-2012
Document Type
Article
Disciplines
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.

Citation Information
Ionut Florescu, Ruihua Liu and Maria C. Mariani. "Solutions to a Partial Integro-Differential Parabolic System Arising in the Pricing of Financial Options in Regime- Switching Jump Diffusion Models" (2012)
Available at: http://works.bepress.com/ruihua_liu/1/