Explicit density approximations for local volatility models using heat kernel expansions (Q340130): Difference between revisions
From MaRDI portal
Latest revision as of 22:12, 12 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Explicit density approximations for local volatility models using heat kernel expansions |
scientific article |
Statements
Explicit density approximations for local volatility models using heat kernel expansions (English)
0 references
11 November 2016
0 references
heat kernel expansion
0 references
local volatility
0 references
CEV model
0 references
short rate models
0 references
0 references