Singular risk-neutral valuation equations
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DOI: 10.1007/s00780-011-0166-8
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- F. Antonacci & C. Costantini & F. D'Ippoliti & M. Papi, 2020. "Inflation, ECB and short-term interest rates: A new model, with calibration to market data," Papers 2010.05462, arXiv.org.
- Flavia Antonacci & Cristina Costantini & Marco Papi, 2021. "Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates," Mathematics, MDPI, vol. 9(10), pages 1-20, May.
- M. Papi & L. Pontecorvi & C. Donatucci, 2017. "Weighted average price in the Heston stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 351-373, November.
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More about this item
Keywords
Degenerate integro-differential equations; Viscosity solutions; Asian options; Stochastic volatility; Jump-diffusion; C02; G12; 35D05; 35K65; 60H15; 60H30; 60J75;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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