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Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity

We consider an integro-differential equation derived from a system of coupled parabolic PDE and an ODE which describes an European option pricing with liquidity shocks. We study the well-posedness and prove comparison principle for the corresponding initial value problem.
Year of publication:
2015-02
Authors: Gyulov, Tihomir ; Valkov, Lyuben
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011186122
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