Intrinsic expansions for averaged diffusion processes
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Publication:2360242
DOI10.1016/J.SPA.2016.12.002zbMath1373.60137arXiv1606.00724OpenAlexW2962715725MaRDI QIDQ2360242
Michele Pignotti, Andrea Pascucci, Stefano Pagliarani
Publication date: 30 June 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.00724
Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition ⋮ Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients ⋮ The parametrix method for parabolic SPDEs ⋮ OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT
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