| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7222031 | Nonlinear Analysis: Real World Applications | 2018 | 14 Pages |
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.
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Authors
T.B. Gyulov, L.G. Vulkov,