Stochastic volatility models and Kelvin waves
From MaRDI portal
Publication:3524284
DOI10.1088/1751-8113/41/34/344012zbMath1151.91041OpenAlexW3121766588MaRDI QIDQ3524284
Artur Sepp, Alexander Lipton-Lifschitz
Publication date: 9 September 2008
Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1751-8113/41/34/344012
Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Transition functions, generators and resolvents (60J35)
Related Items
Large deviation principles for stochastic volatility models with reflection, A generalized Fourier transform approach to risk measures, Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications, OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL, Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness, CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL