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]

Authors

Yang Wang

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Baojun Bian

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Jizhou Zhang

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