Abstract
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.
Citation
Marco Papi. "Regularity Results for a Class of Semilinear Parabolic Degenerate Equations and Applications." Commun. Math. Sci. 1 (2) 229 - 244, June 2003.
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