Heath-Jarrow-Morton-Musiela equation with linear volatility

Details Heath-Jarrow-Morton-Musiela equation with linear volatility Heath-Jarrow-Morton-Musiela equation with linear volatility

2010-10-27

arxiv.org/abs/1010.5808v2

Mathematics

Probability

Scientific paper

The paper is concerned with the problem of existence of solutions for the
Heath-Jarrow-Morton equation with linear volatility. Necessary conditions and
sufficient conditions for the existence of weak solutions and strong solutions
are provided. It is shown that the key role is played by the logarithmic growth
conditions of the Laplace exponent.

Affiliated with

Also associated with

No associations

Rating

Heath-Jarrow-Morton-Musiela equation with linear volatility does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Heath-Jarrow-Morton-Musiela equation with linear volatility, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Heath-Jarrow-Morton-Musiela equation with linear volatility will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-582502