Electronic Journal of Differential Equations,
Vol. 2012 (2012), No. 231, pp. 1-12.

Title: Solutions to a partial integro-differential parabolic system arising
       in the pricing of financial options in regime-switching jump 
       diffusion models
        
Authors: Ionut Florescu (Stevens Institute of Tech., Hoboken, NJ, USA)
         Ruihua Liu     (Univ. of Dayton, Dayton, OH, USA)
	 Maria Cristina Mariani (The Univ. of Texas, El Paso, TX, USA)

Abstract:
 We study a complex system of partial integro-differential equations
 (PIDE) of parabolic type  modeling the option pricing problem in
 a regime-switching jump diffusion model. Under suitable conditions,
 we prove the existence of solutions of the PIDE system in a general
 domain by using the method of upper and lower solutions.

Submitted December 15, 2011. Published December 21, 2012.
Math Subject Classifications: 35K99, 35F99, 45K05, 45K99.
Key Words: Partial integro-differential equations; option pricing;
           regime-switching jump diffusion;  upper and lower solutions.