Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model

Yang Wang, Baojun Bian, Jizhou Zhang. Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model. J. Optimization Theory and Applications, 161(1):122-144, 2014. [doi]

Abstract

Abstract is missing.