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math.PR2010
Heath-Jarrow-Morton-Musiela equation with linear volatility
Michal Barski, Jerzy Zabczyk
The paper is concerned with the problem of existence of solutions for the Heath-Jarrow-Morton equation with linear volatility. Necessary conditions and sufficient conditions for th…
q-fin.RM2010★ 1 cited
Quantile hedging for basket derivatives
Michał Barski
The problem of quantile hedging for basket derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the…