Closed-form approximations for diffusion densities: A path integral approach.

DOI10.1016/j.cam.2003.09.006zbMath1039.60070MaRDI QIDQ1426782

Marc Decamps, Ann De Schepper, Marc J. Goovaerts

Publication date: 15 March 2004

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2003.09.006

zbMATH Keywords

stochastic differential equation; diffusion process; transition probability; comonotonicity; phase integral

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

60J60: Diffusion processes

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Implied Volatility from Local Volatility: A Path Integral Approach, A recursive approach to mortality-linked derivative pricing, Closed-form approximations for diffusion densities: A path integral approach.

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