Pellegrini has come under fire after an indifferent spell which has seen City's title defence falter and left their Champions League hopes in a precarious state after a 2-1 home defeat against Barcelona in the last 16 first leg.
The Chilean, whose current deal expires in 2016, knows there is precedent for City to sack a title-winning manager, having done so to Roberto Mancini just two years ago, and rumours this week have linked Pellegrini with a move to Napoli.
With City five points behind leaders Chelsea, who have a game in hand, Pellegrini desperately needs a confidence-boosting win at struggling Burnley on Saturday ahead of the return trip to Barcelona.
But he is confident of surviving for at least another year regardless of this season's finale.
"My future is very easy
I have contract here until June 2016 and I will finish my contract here and if I can extend my contract, I will extend my contract," he said.
"When I sign a contract, I always try to finish my contract in the amount of years I sign at the beginning.
"If I am not happy, maybe you try and finish your contract before (but) here I am very happy
I will continue without any problems until the end of my contract."
- Seeking solace -
On Sunday, Chelsea will turn back to domestic matters for solace following their dramatic and ill-tempered elimination from the Champions League by Paris Saint-Germain in midweek.
After victory over Tottenham in the League Cup final, Jose Mourinho's side looked poised to sweep all before them over the season's final weeks, only to tumble out of European competition on away goals after a fiery 2-2 draw at Stamford Bridge on Wednesday.
The conduct of Chelsea's players, who swarmed around referee Bjorn Kuipers as he sent off Zlatan Ibrahimovic, and their failure to overcome 10-man opposition saw them pilloried in the British press on Thursday.
They remain extremely well placed in the title race, but Southampton will be eager to exploit any frailty -- physical and psychological -- when they visit the Bridge on Sunday.
"We have to pick ourselves up and go again at the weekend now," said Chelsea captain John Terry
"There's enough experience in the squad to rally round and get everyone going again.
"We've got the League Cup in the pocket and the Premier League is a massive one to go for
The manager said if we can win the Capital One Cup and the Premier League, it will be a very successful year.
"Southampton will come here playing on the front foot and if we're not at it, we'll drop points and slip away in the Premier League."
Arsene Wenger's side host West Ham United on Saturday, bolstered by a 2-1 victory at Manchester United on Monday that took them into the semi-finals of the FA Cup.
Arsenal also have one eye on the second leg of their Champions League last 16 tie at Monaco next week, when they must seek to overturn a 3-1 deficit, and Wenger says the time has come for his players to show their worth.
"You have to stand up to be strong enough, to fight, to show that you have the courage and that you're not inhibited because you're under pressure, and that's the difficulty of the modern player," he told the Arsenal website.
United's defeat by Arsenal left Louis van Gaal's side with only a top-four finish to play for and they are under increasing pressure from Liverpool and also Tottenham, who visit Old Trafford on Sunday.
Spurs have won on their last two trips to Old Trafford and should they repeat the feat, they would go level on points with United, who would sink to fifth place if Liverpool then won at Swansea City on Monday.
Fixtures
Saturday (1500 GMT unless otherwise stated):
Arsenal v West Ham United, Burnley v Manchester City (1730 GMT), Crystal Palace v Queens Park Rangers (1245 GMT), Leicester City v Hull City, Sunderland v Aston Villa, West Bromwich Albion v Stoke City
Sunday (1600 GMT unless otherwise stated):
Chelsea v Southampton (1330 GMT), Everton v Newcastle United, Manchester United v Tottenham Hotspur
Monday (2000 GMT):
Swansea City v Liverpool
Source : AFP
Source: AFP