Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach (Q5416705)
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scientific article; zbMATH DE number 6295267
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| 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)
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14 May 2014
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derivative pricing
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spectral theory
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perturbation theory
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stochastic volatility
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local volatility
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default
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eigenfunction
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0.8028208017349243
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0.7839197516441345
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0.7668615579605103
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0.7657654881477356
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