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

[1] Bates, D. S., Pricing Options Under Jump-Diffusion Processes, The Wharton School, University Pennsylvania, (1988). Search in Google Scholar

[2] Black, F. and Scholes, M., The Pricing of Options and Corporate Liabilities, 81(1973), 637-654. Search in Google Scholar

[3] Briani, M., La Chioma, C. and Natalini, R., Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory, Numerische Mathematik, 4(2004), 98, 607-646. Search in Google Scholar

[4] Briani, M. and Natalini, R., Asymptotic high-order schemes for integro-differential problems arising in markets with jumps, COMM. MATH. SCI, 4(2006), 1, 81-96. Search in Google Scholar

[5] Cox, D., Notes on Option Pricing I: Constant Elasticity of Variance Diffusions, Stanford University, Graduate School of Business (1975). Search in Google Scholar

[6] Cox, D., The Constant Elasticity of Variance Option Pricing Model, Journal of Portfolio Management, 22 (1996), 15-17. Search in Google Scholar

[7] Florescu, I., Liu, R. and Mariani, M. C., Solutions to a partial integro-differential parabolic system arising in the pricing of financial options in regime-switching jump diffusion models, Electronic Journal of Differential Equations, 231, (2012), 1-12. Search in Google Scholar

[8] Florescu, I. and Mariani, M. C., Solutions to integro-differential parabolic problems arising in the pricing of financial options in a Levy market, Electronic Journal of Differential Equations, 62, (2010),1-10. Search in Google Scholar

[9] Jarmouni, B. and Kbiri Alaoui, M. and Souissi, A., An existence result for parabolic integro-differential equations involving CEV model, Journal of Portfolio Management, 51 (21), (2013),682-689. Search in Google Scholar

[10] Lions, J. L., Contrôle optimal de systèmes gouvernés par deséquations aux dérivée partielles, Dunod, Gauthier-Villars, Paris, (1968). Search in Google Scholar

[11] Lynn, B., European rainbow option values under the two-asset Merton jump-diffusion model, Journal of Computational and Applied Mathematics, 364(2020), 112344, 1-15. Search in Google Scholar

[12] Mariani, M. C. and SenGupta, I., Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market, Nonlinear Analysis: Real World Applications, 12 (6) (2011), 3103-3113. Search in Google Scholar

[13] Merton, R. C., Option pricing when the underlying stocks returns are discontinuous, Journal of Financial Economics, 3(1-2), (1976), 125-144. Search in Google Scholar

[14] Walter, W., Differential and Integral Inequalities, Springer, (1970). Search in Google Scholar