Singular risk-neutral valuation equations
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Publication:1761441
DOI10.1007/s00780-011-0166-8zbMath1256.35175MaRDI QIDQ1761441
Marco Papi, Fernanda D'ippoliti, Cristina Costantini
Publication date: 15 November 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-011-0166-8
stochastic volatility; viscosity solutions; Asian options; jump-diffusion; degenerate integro-differential equations
35R60: PDEs with randomness, stochastic partial differential equations
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
35R09: Integro-partial differential equations
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