Existence of Lévy term structure models
نویسندگان
چکیده
Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath–Jarrow–Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature so far.
منابع مشابه
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 12 شماره
صفحات -
تاریخ انتشار 2008