Correlated log-normal random variables under a multiscale volatility model
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Cites work
- A theory of the term structure of interest rates
- Alternative models for stock price dynamics.
- An equilibrium characterization of the term structure
- Comparing approximations for risk measures of sums of nonindependent lognormal random variables
- Joint survival probability via truncated invariant copula
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Multiscale Stochastic Volatility Asymptotics
- Pricing the credit default swap rate for jump diffusion default intensity processes
- Stochastic differential equations. An introduction with applications.
- Stochastic volatility effects on correlated log-normal random variables
- The pricing of options and corporate liabilities
- The sum and difference of two lognormal random variables
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