Small-time expansions for local jump-diffusion models with infinite jump activity (Q395997): Difference between revisions
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| Property / author: Cheng Ouyang / rank | |||
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| Property / Mathematics Subject Classification ID: 60J60 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / zbMATH DE Number: 6327906 / rank | |||
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local jump-diffusion model | |||
| Property / zbMATH Keywords: local jump-diffusion model / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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small-time asymptotic expansion | |||
| Property / zbMATH Keywords: small-time asymptotic expansion / rank | |||
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transition densities | |||
| Property / zbMATH Keywords: transition densities / rank | |||
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transition distributions | |||
| Property / zbMATH Keywords: transition distributions / rank | |||
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Revision as of 16:17, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small-time expansions for local jump-diffusion models with infinite jump activity |
scientific article |
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Small-time expansions for local jump-diffusion models with infinite jump activity (English)
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8 August 2014
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local jump-diffusion model
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option pricing
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small-time asymptotic expansion
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transition densities
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transition distributions
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