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

Tihomir Gyulov and Lyuben Valkov

Papers from arXiv.org

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.

Date: 2015-02
New Economics Papers: this item is included in nep-mfd
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