Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts (Q2962134): Difference between revisions

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Latest revision as of 11:13, 13 July 2024

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Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
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    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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