Solvable local and stochastic volatility models: supersymmetric methods in option pricing (Q5433098): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / arXiv ID: cond-mat/0511028 / rank | |||
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| Property / cites work: Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions / rank | |||
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| Property / cites work: A Theory of the Term Structure of Interest Rates / rank | |||
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| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
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| Property / cites work: Pricing Interest-Rate-Derivative Securities / rank | |||
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| Property / cites work: THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE / rank | |||
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Latest revision as of 14:29, 27 June 2024
scientific article; zbMATH DE number 5221741
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solvable local and stochastic volatility models: supersymmetric methods in option pricing |
scientific article; zbMATH DE number 5221741 |
Statements
Solvable local and stochastic volatility models: supersymmetric methods in option pricing (English)
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19 December 2007
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solvable diffusion process
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supersymmetry
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differential geometry
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