We prove some regularity results for viscosity solutions to strongly degenerateparabolic semilinear problems. These results apply to a specific model used for pricing Mortgage-Backed Securities and allow a complete justification of the existence of the proposed risk-neutral measure.
Regularity results for a class of Semilinear Parabolic Equations and Applications
PAPI M
2003-01-01
Abstract
We prove some regularity results for viscosity solutions to strongly degenerateparabolic semilinear problems. These results apply to a specific model used for pricing Mortgage-Backed Securities and allow a complete justification of the existence of the proposed risk-neutral measure.File in questo prodotto:
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