Singular risk-neutral valuation equations
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Publication:1761441
DOI10.1007/s00780-011-0166-8zbMath1256.35175OpenAlexW1995074597MaRDI 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 volatilityviscosity solutionsAsian optionsjump-diffusiondegenerate integro-differential equations
PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)
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