Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity
Mathematical Finance
2015-02-27 v1 Analysis of PDEs
Abstract
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.
Keywords
Cite
@article{arxiv.1502.07622,
title = {Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity},
author = {Tihomir Gyulov and Lyuben Valkov},
journal= {arXiv preprint arXiv:1502.07622},
year = {2015}
}