Communications in Mathematical Sciences

Volume 1 (2003)

Number 2

Regularity Results for a Class of Semilinear Parabolic Degenerate Equations and Applications

Pages: 229 – 244



Marco Papi


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.

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