FLORESCU, IONUT; LIU, RUIHUA; MARIANI, MARIA CRISTINA; … - In: International Journal of Theoretical and Applied … 16 (2013) 08, pp. 1350046-1
In this paper, we present algorithms to solve a complex system of partial integro-differential equations (PIDE's) of parabolic type. The system is motivated by applications in finance where the solution of the system gives the price of European options in a regime-switching jump diffusion model....