具有线性波动率的Heath-Jarrow-Morton-Musiela方程
概率论
2010-11-10 v2 证券定价
摘要
本文关注具有线性波动率的Heath-Jarrow-Morton方程解的存在性问题。给出了弱解和强解存在的必要条件和充分条件。结果表明，Laplace指数的对数增长条件起着关键作用。
引用
@article{arxiv.1010.5808,
title = {Heath-Jarrow-Morton-Musiela equation with linear volatility},
author = {Michal Barski and Jerzy Zabczyk},
journal= {arXiv preprint arXiv:1010.5808},
year = {2010}
}