Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model |
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| Authors: | Yang Wang Baojun Bian Jizhou Zhang |
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| Institution: | 1. Mathematics and Science College, Shanghai Normal University, Shanghai, 200234, P.R. China
2. Department of Mathematics, Tongji University, Shanghai, 200092, P.R. China
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| Abstract: | We study the viscosity solutions of integro-differential Hamilton–Jacobi–Bellman equations of degenerate parabolic type. These equations are from the pricing problem for the European passport options in a jump-diffusion model. The passport option is a call option on a trading account. We discuss the mathematical model for pricing problem. We prove the comparison principle, uniqueness and convexity preserving for the viscosity solutions of related pricing equations. |
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