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Heath-Jarrow-Morton-Musiela equation with linear volatility

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  • Michal Barski
  • Jerzy Zabczyk

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.

Suggested Citation

  • Michal Barski & Jerzy Zabczyk, 2010. "Heath-Jarrow-Morton-Musiela equation with linear volatility," Papers 1010.5808, arXiv.org, revised Nov 2010.
  • Handle: RePEc:arx:papers:1010.5808
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    File URL: http://arxiv.org/pdf/1010.5808
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    1. Giovanni Di Masi & Tomas Björk & Wolfgang Runggaldier & Yuri Kabanov, 1997. "Towards a general theory of bond markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 141-174.
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