Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach (Q5416705)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6295267
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach |
scientific article; zbMATH DE number 6295267 |
Statements
PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (English)
0 references
14 May 2014
0 references
derivative pricing
0 references
spectral theory
0 references
perturbation theory
0 references
stochastic volatility
0 references
local volatility
0 references
default
0 references
eigenfunction
0 references
0 references
0 references
0 references
0.8028208017349243
0 references
0.7839197516441345
0 references
0.7668615579605103
0 references
0.7657654881477356
0 references
