Communications in Mathematical Sciences
Volume 1 (2003)
Regularity Results for a Class of Semilinear Parabolic Degenerate Equations and Applications
Pages: 229 – 244
We prove some regularity for viscosity solutions to strongly degenerate parabolic 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.