Heath-Jarrow-Morton-Musiela equation with linear volatility
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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996.
"Towards a General Theory of Bond Markets,"
SSE/EFI Working Paper Series in Economics and Finance
143, Stockholm School of Economics.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1010.5808. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.