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Singular risk-neutral valuation equations

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  • Cristina Costantini
  • Marco Papi
  • Fernanda D’Ippoliti

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  • Cristina Costantini & Marco Papi & Fernanda D’Ippoliti, 2012. "Singular risk-neutral valuation equations," Finance and Stochastics, Springer, vol. 16(2), pages 249-274, April.
    • Handle: RePEc:spr:finsto:v:16:y:2012:i:2:p:249-274
    DOI: 10.1007/s00780-011-0166-8
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    References listed on IDEAS

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    1. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997. "Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, vol. 52(5), pages 2003-2049, December.
    2. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    3. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    4. Andrea Pascucci, 2008. "Free boundary and optimal stopping problems for American Asian options," Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January.
    5. Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, University Library of Munich, Germany.
    6. Laura Monti & Andrea Pascucci, 2009. "Obstacle problem for Arithmetic Asian options," Papers 0910.4257, arXiv.org.
    7. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
    8. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48, January.
    9. Massimo Bernaschi & Maya Briani & Marco Papi & Davide Vergni, 2007. "Scenario-generation methods for an optimal public debt strategy," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 217-229.
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    Citations

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    Cited by:

    1. 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.
    2. 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.
    3. 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.

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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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