An existence result for two-dimensional parabolic integro-differential equations involving CEV model
Author:
Affiliation:
1. Laboratoire LAR2A, Department of Mathematics, Faculty of Sciences Tétouan , University Abdelmalek Essaadi , , Tétouan , Morocco .
2. Department of Mathematics, Faculty of Sciences Tétouan , University Abdelmalek Essaadi , , Tétouan , Morocco .
Abstract
Publisher
Walter de Gruyter GmbH
Link
https://www.sciendo.com/pdf/10.2478/mjpaa-2023-0025
Reference14 articles.
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2. Black, F. and Scholes, M., The Pricing of Options and Corporate Liabilities, 81(1973), 637-654.
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.
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.
5. Cox, D., Notes on Option Pricing I: Constant Elasticity of Variance Diffusions, Stanford University, Graduate School of Business (1975).
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