Well posedness and comparison principle for option pricing with switching liquidity. (October 2018)
- Record Type:
- Journal Article
- Title:
- Well posedness and comparison principle for option pricing with switching liquidity. (October 2018)
- Main Title:
- Well posedness and comparison principle for option pricing with switching liquidity
- Authors:
- Gyulov, T.B.
Vulkov, L.G. - Abstract:
- Abstract: We consider an integro-differential equation which is derived from a system of coupled parabolic PDE and an ODE and describes an European option pricing with liquidity shocks. We study the well-posedness and prove comparison principle for the corresponding initial value problem.
- Is Part Of:
- Nonlinear analysis. Volume 43(2018)
- Journal:
- Nonlinear analysis
- Issue:
- Volume 43(2018)
- Issue Display:
- Volume 43, Issue 2018 (2018)
- Year:
- 2018
- Volume:
- 43
- Issue:
- 2018
- Issue Sort Value:
- 2018-0043-2018-0000
- Page Start:
- 348
- Page End:
- 361
- Publication Date:
- 2018-10
- Subjects:
- Integro-differential equation -- Option pricing -- Switching liquidity -- Buyer's indifference price -- Well-posedness -- Comparison principle
Nonlinear functional analysis -- Periodicals
Analyse fonctionnelle non linéaire -- Périodiques
Nonlinear functional analysis
Periodicals
515.7248 - Journal URLs:
- http://www.sciencedirect.com/science/journal/14681218 ↗
http://www.elsevier.com/journals ↗ - DOI:
- 10.1016/j.nonrwa.2018.03.006 ↗
- Languages:
- English
- ISSNs:
- 1468-1218
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 6117.315200
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 6478.xml