Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Smart expansion and fast calibration for jump diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic and non asymptotic approximations for option valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: How to make Dupire’s local volatility work with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematical methods for financial markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3874765 / rank
 
Normal rank
Property / cites work
 
Property / cites work: PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiscale exponential Lévy-type models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analytical Expansions for Parabolic Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A family of density expansions for Lévy-type processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing approximations and error estimates for local Lévy-type models with default / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analytical approximation of the transition density in a local volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adjoint Expansions in Local Lévy Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: PDE and martingale methods in option pricing. / rank
 
Normal rank

Latest revision as of 16:06, 17 July 2024

scientific article; zbMATH DE number 6991893
Language Label Description Also known as
English
Asymptotics for $$d$$ -Dimensional Lévy-Type Processes
scientific article; zbMATH DE number 6991893

    Statements

    Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (English)
    0 references
    0 references
    0 references
    0 references
    11 December 2018
    0 references
    multi-dimensional Lévy-type process with killing
    0 references
    asymptotic approximation
    0 references
    integro-differential equation
    0 references
    Lévy processes
    0 references
    parametrix
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references