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

DOI10.2478/MJPAA-2023-0025MaRDI QIDQ6491289zbMATH OpenFDO

Authors B. Jarmouni, Hassane Hjiaj

Publication date 24 April 2024

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.2478/MJPAA-2023-0025

zbMATH Keywords

CEV model with jumpsexistence of weak solutionintegro-differential parabolic equationsoption pricing

Mathematics Subject Classification ID

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

Cites work

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• Option pricing when underlying stock returns are discontinuous
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• The pricing of options and corporate liabilities

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