An existence result for two-dimensional parabolic integro-differential equations involving CEV model

Abstract

In this paper, we present an existence result of weak solutions for some parabolic equations involving the so-called CEV model with jumps.

Keywords

• existence of weak solution
• option pricing
• cev model with jumps
• integro-differential parabolic equations
• 60h15
• 60j74
• 47g20