Singular risk-neutral valuation equations

Cristina Costantini (), Marco Papi () and Fernanda D’Ippoliti

Finance and Stochastics, 2012, vol. 16, issue 2, 249-274

Keywords: Degenerate integro-differential equations; Viscosity solutions; Asian options; Stochastic volatility; Jump-diffusion; C02; G12; 35D05; 35K65; 60H15; 60H30; 60J75 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00780-011-0166-8

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