Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts (Q2962134): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts |
scientific article |
Statements
Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts (English)
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16 February 2017
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solvable continuous-time stochastic processes
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squared Bessel processes
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Ornstein-Uhlenbeck processes
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nonlinear volatility diffusion models
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nonlinear mean-reverting drift models
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FX options
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VIX options
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