Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts

DOI10.1137/15M1033502zbMath1355.60059MaRDI QIDQ2962134

R. N. Makarov, Giuseppe Campolieti

Publication date: 16 February 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processesVIX optionssquared Bessel processesFX optionsnonlinear mean-reverting drift modelsnonlinear volatility diffusion modelssolvable continuous-time stochastic processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)

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