Numerical Ross recovery for diffusion processes using a PDE approach

DOI10.1080/1350486X.2020.1730202MaRDI QIDQ5126678zbMATH OpenOpenAlexFDO

Authors Lina von Sydow, Johan Walden

Publication date 20 October 2020

Published in Applied Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/1350486x.2020.1730202

zbMATH Keywords

diffusion processnumerical methodRoss recovery

Mathematics Subject Classification ID

Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Dynamic valuation decomposition within stochastic economies
• Functional Ross recovery: theoretical results and empirical tests
• scientific article; zbMATH DE number 1121860 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Long-Term Risk: An Operator Approach
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• Recovery with unbounded diffusion processes
• Ross recovery with recurrent and transient processes
• Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth

Cited in

(3)

• Ross recovery and the term structure of interest rates
• Recovery with unbounded diffusion processes
• Ross recovery with recurrent and transient processes

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