ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS
Publication:4906524
DOI10.1111/j.1467-9965.2012.00521.xzbMath1278.91111OpenAlexW1592561576MaRDI QIDQ4906524
R. N. Makarov, Giuseppe Campolieti
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2012.00521.x
Bessel processoption pricingOrnstein-Uhlenbeck processimplied volatility smileCEV modelCIR processfirst exit timeJacobi processnonlinear volatility diffusionssolvable hypergeometric diffusions
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
Cites Work
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