Heath-Jarrow-Morton-Musiela equation with linear volatility

Michal Barski and Jerzy Zabczyk

Papers from arXiv.org

Abstract: 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.

Date: 2010-10, Revised 2010-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1010.5808 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1010.5808

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().